Nominal rigidities, asset returns, and monetary policy

Publicado en

  • Journal of Monetary Economics


  • Asset-return implications of nominal price and wage rigidities are analyzed in general equilibrium. Nominal rigidities, combined with permanent productivity shocks, increase expected excess returns on production claims. This is mainly explained by consumption dynamics driven by rigidity-induced changes in employment and markups. An interest-rate monetary policy rule affects asset returns. Stronger (weaker) rule responses to inflation (output) increase expected excess returns. Policy shocks substantially increase asset-return volatility. Price rigidity heterogeneity produces cross-sectoral differences in expected returns. The model matches important macroeconomic moments and the Sharpe ratio of stock returns, but only captures a small fraction of the observed equity premium.

fecha de publicación

  • 2014

Líneas de investigación

  • Asset Pricing
  • Cross-Section of Stock Returns
  • Expected Stock Returns
  • General Equilibrium
  • Monetary Policy
  • Nominal Rigidities

Página inicial

  • 210

Última página

  • 225


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