Equity premium and monetary policy in a model with limited asset market participation
نویسندگان
چکیده
We develop a dynamic stochastic general equilibrium model to examine how monetary policy shocks affect income inequality and the equity premium. The features Ricardian non-Ricardian households shows that tightening causes an endogenous redistribution of from non-Ricardians Ricardians. Ricardians’ consumption comoves more strongly with asset returns, giving rise high premia. extend our several frictions estimate it generalized method moments using US macroeconomic financial data 1960 2007. find estimated jointly matches bond complement theoretical vector autoregression estimations show increases
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ژورنال
عنوان ژورنال: Economic Modelling
سال: 2021
ISSN: ['0264-9993', '1873-6122']
DOI: https://doi.org/10.1016/j.econmod.2020.03.010