主题 / Topic：Monetary Policy Rules and the Equity Premium
时间 / Time：6月9号（周五）｜June 9 (Friday), 14：00- 15：30
地点 / Venue：文波207｜207，WENBO
主讲/Speaker
彭玉磊博士，中山大学岭南学院经济学系讲师。本科毕业于华中科技大学；硕士毕业于香港大学和北京大学，分别获得金融学和经济学硕士学位；博士毕业于德州农工大学，获得经济学博士学位。已在Journal of Econometrics 等国际知名期刊上发表文章。
研究领域/Research Interests
宏观经济学、货币经济学、公共经济学及应用计量
Macroeconomics, Monetary Economics, Public Economics, and Applied Econometrics
摘要/Abstract
We study monetary policy’s effects on the equity premium using a segmented stock market model. We find that monetary policy is important in affecting the stock and bond prices, and thus, the equity premium. Specifically, we find that the optimal monetary policy in our model is risk sharing and countercyclical with respect to the dividend shock. Under that policy the risky asset is not that risky, and the return on equity is low. On the other hand, inflation targeting policy is risky, contributing to high equity return. At the same time, the inflation targeting policy produces lower return on the nominal bond, than what the optimal monetary policy does. This is because the inflation targeting policy insures against inflation, although the optimal policy does not. These two effects imply high equity premium under the inflation targeting policy compared to the optimal. Our calibration exercise finds equity premium of almost 7% under the inflation targeting policy and 1.5% under the optimal policy, using a coefficient of relative risk aversion equal to 2. Overall, the model suggests that optimal monetary policy corrects the segmentation friction, and minimizes the equity premium.
