Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation

This short paper shows that a New Keynesian model with limited asset market participation can generate a high risk-premium on unlevered equity relative to short-term risk-free bonds and high variability of equity returns driven by monetary policy shocks with zero persistence.

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Year of publication:	2016
Authors:	Horvath, Roman ; Kaszab, Lorant
Publisher:	Prague : Charles University in Prague, Institute of Economic Studies (IES)
Subject:	limited participation \| monetary policy \| DSGE \| equity premium

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Series:	IES Working Paper ; 04/2016
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	848314611 [GVK] hdl:10419/174171 [Handle] RePEc:fau:wpaper:wp2016_04 [RePEc]
Classification:	E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10011787267