全球智库信息集成服务系统(G2TT): A Theory of the Nominal Character of Stock Securities

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w28186
来源ID	Working Paper 28186
	A Theory of the Nominal Character of Stock Securities
	Bernard Dumas; Marcel Savioz
发表日期	2020-12-14
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) house-hold/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 income-driven 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 ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w28186
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/585860
推荐引用方式 GB/T 7714	Bernard Dumas,Marcel Savioz. A Theory of the Nominal Character of Stock Securities. 2020.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w28186.pdf（3208KB）	智库出版物		限制开放	CC BY-NC-SA	浏览