Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation

Roman Horvath and Lorant Kaszab

No 2016/04, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: This short paper shows that a New Keynesian model with limited asset market participation can generate a high risk-premium on unlevered equity relative to short-term risk-free bonds and high variability of equity returns driven by monetary policy shocks with zero persistence.

Keywords: Limited Participation; Monetary Policy; DSGE; Equity Premium (search for similar items in EconPapers)
JEL-codes: E32 E44 G12 (search for similar items in EconPapers)
Pages: 43pages
Date: 2016-02, Revised 2016-02
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-mon
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Related works:
Journal Article: Equity premium and monetary policy in a model with limited asset market participation (2021)
Working Paper: Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation (2020)
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