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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP15507 |
DP15507 A Theory of the Nominal Character of Stock Securities | |
Bernard Dumas; Marcel René Savioz | |
发表日期 | 2020-12-01 |
出版年 | 2020 |
语种 | 英语 |
摘要 | We construct recursive solutions for, and study the properties of the dynamic equilibrium of an economy with three types of agents: (i) household/investors who supply labor with a finite elasticity, consume a large variety of goods that are not perfect substitutes and trade government bonds; (ii) firms that produce those varieties of goods, receive productivity shocks and set prices in a Calvo manner; (iii) a government that collects an exogenous fiscal surplus and acts mechanically, buying and selling bonds in accordance with a Taylor policy rule based on expected inflation. In this setting we show that stock market returns are much less than one-for-one related to inflation over a one-year holding period, which means that stock securities have a strong nominal character. We also show that their nominal character diminishes as the length of the stock-holding period increases, in accordance with empirical evidence. |
主题 | Financial Economics |
URL | https://cepr.org/publications/dp15507 |
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/544508 |
推荐引用方式 GB/T 7714 | Bernard Dumas,Marcel René Savioz. DP15507 A Theory of the Nominal Character of Stock Securities. 2020. |
条目包含的文件 | 条目无相关文件。 |
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