کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7373868 | 1479770 | 2018 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
How money illusions and heterogeneous beliefs affect asset prices
ترجمه فارسی عنوان
چگونه توهم های پول و اعتقادات ناهمگونی بر قیمت های دارایی تاثیر می گذارند
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We develop a dynamic asset pricing model with two investors with money illusions and heterogeneous beliefs about some aspects of the economy. The model is tractable and delivers closed forms for all equilibrium quantities. The study shows that money illusion leads the nominal shock risk to generate spillover effects on the real side of the economy and affects all equilibrium quantities, even without inflation disagreement. We find that bond yields increase, but the stock price decreases, as money illusion increases. Bond yield and stock price volatilities increase with fundamental disagreement, while the latter decreases with inflation disagreement. We also discover that the stock risk premium is inverse-U shaped as inflation disagreement increases. Moreover, we find that the optimistic investor holds positions in real bonds and stocks, and shorts the nominal bond to hedge against the risk of market changes, which is in line with the pessimistic investor's beliefs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 44, April 2018, Pages 167-192
Journal: The North American Journal of Economics and Finance - Volume 44, April 2018, Pages 167-192
نویسندگان
Chaoqun Ma, Hailong Wang, Fengchao Cheng, Duni Hu,