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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 Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| 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 | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |