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Model misspecification, the equilibrium natural interest rate, and the equity premium

This paper analyzes the natural rate of interest and the equity premium in a nonlinear model where agents are uncertain over both future technology growth and the future course of monetary policy. I show that model uncertainty, and notably uncertainty on the future course of monetary policy, can give rise to a sizable precautionary savings motive. This result is potentially problematic for both the estimation of the natural rate and its use as a policy indicator. Monetary uncertainty can also contribute to amplify the equity premium, and to account for its apparent, positive link with inflation..Printed journal

Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana1
Penerbit The Ohio State University.,
Edisi -
Subjek Monetary policy
Interest rates
Economic models
Equilibrium
Uncertainty
studies
Risk premiums
ISBN/ISSN 222879
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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