Policy Shocks in a Monetary Asset-Pricing Model with Endogenous Production / Politikeffekte in einem monetären Asset-Pricing-Modell mit Produktion

Schittko Ulrich K. and Müller Markus
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Schittko Ulrich K.: Universität Augsburg, Wirtschafts- und Sozialwissenschaftliche Fakultät, Universitätsstr. 16, D-86159 Augsburg
Müller Markus: Universität Augsburg, Wirtschafts- und Sozialwissenschaftliche Fakultät, Universitätsstr. 16, D-86159 Augsburg

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1999, vol. 218, issue 1-2, 147-167

Abstract: In a framework of a monetary asset pricing model with production the effects of monetary and fiscal policy shocks are investigated. The model is kept simple enough to generate explicit formulae for the equilibrium price functions. With money yielding liquidity services in the exchange process real stock prices are negatively correlated with stochastic fiscal policy changes, while the impact of structural fiscal policy on the stock market depends on the level of private consumption in the economy. Moreover, shares provide protection against inflation from monetary shocks, and a suitably chosen structural fiscal policy can be used to achieve a stabilization of the real rates of return of both assets.

Keywords: Asset pricing; fiscal policy; monetary policy; interest rate; discrete dynamic models; Asset-Pricing; Fiskalpolitik; Geldpolitik; Zins; dynamische Modelle in diskreter Zeit (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:218:y:1999:i:1-2:p:147-167

DOI: 10.1515/jbnst-1999-1-209

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