G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12275
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
URLhttps://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.
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