Influence de la politique monétaire sur le prix des actifs financiers: les enseignements d'un modèle MIU appliqué à la Fed

Christian Aubin (), Ibrahima Diouf () and Dominique Pépin ()
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Christian Aubin: Axe 2 (2011-2016) : « Marchés, Cultures de consommation, Autonomie et Migrations » (MSHS Poitiers) - MSHS de Poitiers - Maison des sciences de l'homme et de la société de Poitiers - UP - Université de Poitiers = University of Poitiers - CNRS - Centre National de la Recherche Scientifique, CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière [EA 2249] - UP - Université de Poitiers = University of Poitiers
Ibrahima Diouf: CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière [EA 2249] - UP - Université de Poitiers = University of Poitiers, Axe 2 (2011-2016) : « Marchés, Cultures de consommation, Autonomie et Migrations » (MSHS Poitiers) - MSHS de Poitiers - Maison des sciences de l'homme et de la société de Poitiers - UP - Université de Poitiers = University of Poitiers - CNRS - Centre National de la Recherche Scientifique

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Abstract: Impact of monetary policy on asset prices : lessons from a MIU model applied to the Fed Abstract -A tractable consumption-based and money-based asset pricing model is built to relate in closed form the risk premium, the risk free rate and the volatility of asset price to parameters of monetary policy. When applied to the Fed, the analysis shows that the monetary policy may have a destabilizing impact on asset prices. When equilibrium exists, the monetary policy contributes little to the equity premium, and does reduce the volatility of equity price only if the representative agent has a low preference for liquidity. As a result, this preference should be low, in order that objectives of macroeconomic and financial stabilization match up.

Keywords: monetary policy; asset pricing; money-in-utility; Federal Reserve system (search for similar items in EconPapers)
Date: 2013-04
Note: View the original document on HAL open archive server: https://hal.science/hal-00943852v2
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