Using the CCAPM with Stochastic Taxation and Money Supply to Examine U.S. REITs Pricing Bubbles
نویسندگان
چکیده
منابع مشابه
Stochastic taxation and asset pricing in dynamic general equilibrium
Tax rates have fluctuated considerably since federal income taxes were introduced in the U.S. in 1913. This paper analyzes the effects of stochastic taxation on asset prices in a dynamic general equilibrium model. Stochastic taxation affects the after-tax returns of both risky and safe assets. Whenever taxes change, bond and equity prices adjust to clear the asset markets. These price adjustmen...
متن کاملDecomposing US Money Supply Changes since the Financial Crisis
In response to the financial crisis of 2008, the Federal Reserve radically increased the monetary base. Banks responded by increasing excess reserves rather than increasing bank loans, and the public responded with a substantial flight to liquidity in the form of currency and demand deposits. As a result, the money-supply multipliers substantially decreased, so that the actual money supply meas...
متن کاملMoney Market Rates And Implied CCAPM Rates: Some International Evidence∗
New Neoclassical Synthesis models equate the instrument of monetary policy to the implied CCAPM rate arising from a standard model with power utility. This paper identifies monetary policy shocks using a multi country dataset and examines the movement of money market and implied CCAPM rates. We find that an increase in the nominal interest rate leads to a fall in the implied CCAPM rate. Incorpo...
متن کاملThe Taxation of Saving Returns in Overlapping Generations Economies with Stochastic Asset Bubbles
In the standard simple overlapping generations model with production (Diamond (1965)), the steady state competitive equilibrium level of capital under laissez-faire does not typically maximize the net production if the agents can save only in terms of capital. In particular, whenever the steady state competitive equilibrium level of capital is too high, net production and consumption can be inc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Real Estate Research
سال: 2017
ISSN: 0896-5803,2691-1175
DOI: 10.1080/10835547.2017.12091482