صرف سهام و سیاست پولی
ترجمه نشده

صرف سهام و سیاست پولی

عنوان فارسی مقاله: صرف سهام و سیاست پولی در مدلی با مشارکت محدود بازار دارایی
عنوان انگلیسی مقاله: Equity premium and monetary policy in a model with limited asset market participation
مجله/کنفرانس: مدل سازی اقتصادی – Economic Modelling
رشته های تحصیلی مرتبط: اقتصاد
گرایش های تحصیلی مرتبط: اقتصاد مالی، اقتصاد پولی
کلمات کلیدی فارسی: مشارکت محدود، سیاست پولی، DSGE، صرف سهام
کلمات کلیدی انگلیسی: Limited participation، Monetary policy، DSGE، Equity premium
نوع نگارش مقاله: مقاله پژوهشی (Research Article)
نمایه: Scopus – Master Journals List – JCR
شناسه دیجیتال (DOI): https://doi.org/10.1016/j.econmod.2020.03.010
دانشگاه: Charles University, Prague, Czech Republic
ناشر: الزویر - Elsevier
نوع ارائه مقاله: ژورنال
نوع مقاله: ISI
سال انتشار مقاله: 2020
ایمپکت فاکتور: 2.360 در سال 2019
شاخص H_index: 56 در سال 2020
شاخص SJR: 1.039 در سال 2019
شناسه ISSN: 0264-9993
شاخص Quartile (چارک): Q2 در سال 2019
فرمت مقاله انگلیسی: PDF
تعداد صفحات مقاله انگلیسی: 11
وضعیت ترجمه: ترجمه نشده است
قیمت مقاله انگلیسی: رایگان
آیا این مقاله بیس است: خیر
آیا این مقاله مدل مفهومی دارد: ندارد
آیا این مقاله پرسشنامه دارد: ندارد
آیا این مقاله متغیر دارد: ندارد
کد محصول: E15015
رفرنس: دارای رفرنس در داخل متن و انتهای مقاله
فهرست انگلیسی مطالب

Abstract


JEL classification


۱٫ Introduction


۲٫ Empirical evidence


۳٫ Model


۴٫ Parametrization


۵٫ Results


۶٫ Sensitivity analysis


۷٫ GMM estimation of the extended model


۸٫ Results from the extended model


۹٫ Concluding remarks


Declaration of competing interest


Appendix A. Supplementary data


Research Data


References

نمونه متن انگلیسی مقاله

Abstract


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.


Introduction


Following the recent financial crisis, there is a renewed interest in exploring the interactions between monetary policy and income inequality (Coibion et al., 2017; Davtyan, 2017). Traditionally, it has been assumed that the distributional effects of the monetary policy rate net out over the business cycle, and therefore, the interactions between monetary policy and inequality have rarely been examined. However, some recent papers show that monetary policy affects income inequality (Coibion et al., 2017) through various channels, such as financial segmentation. It has also been shown that income inequality can become a monetary policy transmission channel itself through earnings heterogeneity (Auclert, 2019). This is because low-income households typically have a higher marginal propensity to consume, and therefore, these households may benefit from monetary expansion more than rich households do. Although the literature examining the effects of monetary policy on income inequality is growing, the implications of income redistribution from a macro-finance perspective have not received sufficient attention in the literature so far. We try to bridge this gap in this paper. Specifically, our paper measures the effect of income redistribution on matching financial and macroeconomic moments jointly in a model with limited asset market participation (LAMP). Importantly, in our paper, income redistribution occurs endogenously, i.e., it is caused by monetary policy shocks. This approach extends the previous literature, which assumes exogenous redistribution shocks (see, e.g., Lansing (2015)). The current literature examining the effects of monetary policy on equity premia has focused on other issues, for example, on the role of market volatility (Mallick et al., 2017). Our first contribution is to show that monetary policy shocks are the source of the high equity risk premia in a simple model with LAMP. Our model is populated by Ricardian and non-Ricardian households. The former have access to bonds to smooth their consumption (‘optimizers’), while the latter do not. This unequal access implies that a limited share of the population participates in financial markets. NonRicardians receive only labor income, while Ricardians hold equity shares in firms.

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