Gateway to Think Tanks
来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP12275 |
DP12275 Monetary Policy and Asset Valuation | |
Francesco Bianchi; Martin Lettau; Sydney Ludvigson | |
发表日期 | 2017-09-06 |
出版年 | 2017 |
语种 | 英语 |
摘要 | We document large, longer-term, joint regime shifts in asset valuations and the real federal funds rate-r^{∗} spread. To interpret these findings, we estimate a novel macro-finance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy rule, with long-term consequences for the real interest rate. Estimates imply that two-thirds of the decline in the real interest rate since the early 1980s is attributable to regime changes in monetary policy. The model explains how infrequent changes in the monetary policy stance can generate persistent changes in asset valuations and the equity premium. |
主题 | Financial Economics ; Monetary Economics and Fluctuations |
关键词 | monetary policy Asset pricing Real interest rate risk premium |
URL | https://cepr.org/publications/dp12275-1 |
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/541086 |
推荐引用方式 GB/T 7714 | Francesco Bianchi,Martin Lettau,Sydney Ludvigson. DP12275 Monetary Policy and Asset Valuation. 2017. |
条目包含的文件 | 条目无相关文件。 |
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。