| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15766 |
| DP15766 What do Interest Rates Reveal about the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets | |
| Matthijs Breugem; Adrian Buss; Joel PERESS | |
| 发表日期 | 2021-02-05 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We propose a novel theory and provide supporting empirical evidence that lower long-term interest rates (e.g., because of ``quantitative easing'') harm informational and allocative efficiency. We develop a noisy rational expectations equilibrium model with an endogenous interest rate that investors use to update their beliefs about economic fundamentals. The interest rate reveals information about discount rates, allowing investors to extract more information about cashflows from stock prices. The precision of the interest-rate signal and, hence, stock-price informativeness increase in the interest rate. As a result, informational and allocative efficiency rise with bond and money supplies and with policy transparency. |
| 主题 | Financial Economics |
| 关键词 | (endogenous) interest rates Informational efficiency Capital allocation efficiency Rational expectations Unconventional monetary policy |
| URL | https://cepr.org/publications/dp15766 |
| 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/544767 |
| 推荐引用方式 GB/T 7714 | Matthijs Breugem,Adrian Buss,Joel PERESS. DP15766 What do Interest Rates Reveal about the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets. 2021. |
| 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。
