| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7412
|
| DP7412 Price Controls and Consumer Surplus |
| Jeremy Bulow; Paul Klemperer
|
| 发表日期 | 2009-08-16
|
| 出版年 | 2009
|
| 语种 | 英语
|
| 摘要 | This article analyzes the implications of money illusion for investor behavior and asset prices in a securities market economy with inflationary fluctuations. We provide a belief-based formulation of money illusion which accounts for the systematic mistakes in evaluating real and nominal quantities. The impact of money illusion on security prices and their dynamics is demonstrated to be considerable even though its welfare cost on investors is small in typical environments. A money-illusioned investor's real consumption is shown to generally depend on the price level, and specifically to decrease in the price level. A general-equilibrium analysis in the presence of money illusion generates implications that are consistent with several empirical regularities. In particular, the real bond yields and dividend price ratios are positively related to expected inflation, the real short rate is negatively correlated with realized inflation, and money illusion may induce predictability and excess volatility in stock returns. The basic analysis is generalized to incorporate heterogeneous investors with differing degrees of illusion. |
| 主题 | Financial Economics
|
| 关键词 | Asset pricing
Bounded rationality
Equilibrium
Expected inflation
Money illusion
New keynesian
|
| URL | https://cepr.org/publications/dp7412
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536249
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推荐引用方式
GB/T 7714 |
Jeremy Bulow,Paul Klemperer. DP7412 Price Controls and Consumer Surplus. 2009.
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