Equity premium and monetary policy in a model with limited asset market participation
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F21%3A10426439" target="_blank" >RIV/00216208:11230/21:10426439 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=6iv97kOz1I" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=6iv97kOz1I</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econmod.2020.03.010" target="_blank" >10.1016/j.econmod.2020.03.010</a>
Alternative languages
Result language
angličtina
Original language name
Equity premium and monetary policy in a model with limited asset market participation
Original language description
We develop a dynamic stochastic general equilibrium model to examine how monetary policy shocks affect income inequality and the equity premium. The model features Ricardian and non-Ricardian households and shows that a monetary policy tightening causes an endogenous redistribution of income from non-Ricardians to Ricardians. Ricardians? consumption comoves more strongly with asset returns, giving rise to high equity premia. We extend our model with several frictions and estimate it with generalized method of moments using US macroeconomic and financial data from 1960 to 2007. We find that the estimated model jointly matches the bond and equity premia. We complement our theoretical model with vector autoregression estimations and show that a tightening of US monetary policy increases equity premia.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Economic Modelling
ISSN
0264-9993
e-ISSN
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Volume of the periodical
95
Issue of the periodical within the volume
February
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
11
Pages from-to
430-440
UT code for WoS article
000632755400013
EID of the result in the Scopus database
2-s2.0-85082658995