Loading...
Please wait, while we are loading the content...
Asset Pricing at the Zero Lower Bound
| Content Provider | Scilit |
|---|---|
| Author | Howard, Philip |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal In a New-Keynesian model subject to the zero lower bound (ZLB), constrained monetary policy endogenously results in time-varying equity risk premia and equity-bond market correlations. Liquidity traps at the ZLB are characterized by negatively skewed and increasingly uncertain consumption growth, labor growth, and inflation. Investors with recursive preferences price the liquidity traps, resulting in rising equity risk premiums. Real bond yields and equity returns become negatively correlated at the ZLB, while positive in normal times. The model provides a general equilibrium foundation for 1) the time-varying comovement amongst macroeconomic quantities and asset prices observed during the the Great Recession and 2) why real bonds ceased to provide investors with insurance at the ZLB, precisely when they valued it most. |
| Related Links | http://cdr.lib.unc.edu/downloads/6t053g263 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2752089 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2752089 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-03-24 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Asset Pricing Monetary Policy Zero Lower Bound Term Structure Equity Premium Great Recession |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
