G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15507
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
URLhttps://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.
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