G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8387
DP8387 Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach
Chryssi Giannitsarou; Edouard Challe
发表日期2011-05-31
出版年2011
语种英语
摘要Recent empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on stock prices: a 25-basis point increase in the Fed funds rate is associated with an immediate decrease in broad stock indices that may range from 0.5 to 2.3 percent, followed by a gradual decay as stock prices revert towards their long-run expected value. In this paper, we assess the ability of a general equilibrium New Keynesian asset-pricing model to account for these facts. The model we consider allows for staggered price and wage setting, as well as time-varying risk aversion through habit formation. We find that the model predicts a stock market response to policy shocks that matches empirical estimates, both qualitatively and quantitatively. Our findings are robust to a range of variations and parameterizations of the model.
主题Financial Economics ; International Macroeconomics
关键词Asset prices monetary policy New keynesian general equilibrium model
URLhttps://cepr.org/publications/dp8387
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/537235
推荐引用方式
GB/T 7714
Chryssi Giannitsarou,Edouard Challe. DP8387 Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach. 2011.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Chryssi Giannitsarou]的文章
[Edouard Challe]的文章
百度学术
百度学术中相似的文章
[Chryssi Giannitsarou]的文章
[Edouard Challe]的文章
必应学术
必应学术中相似的文章
[Chryssi Giannitsarou]的文章
[Edouard Challe]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。