| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8387 |
| 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 |
| URL | https://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。 | |||||
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