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

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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

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Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

: The Ohio State University.,

Deskripsi Fisik

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Bahasa

ISBN/ISSN

222879

Klasifikasi

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Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

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Subjek

Monetary policy
Interest rates
Economic models
Equilibrium
Uncertainty
studies
Risk premiums

Info Detail Spesifik

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Pernyataan Tanggungjawab

pa

Versi lain/terkait

Lampiran Berkas

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