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Portfolio Inertia and the Equity Premium

Christopher J. GustJ. David López-Salido

出版	Board of Governors of the Federal Reserve System, 2009
URL	http://books.google.com.hk/books?id=5oxRAQAAMAAJ&hl=&source=gbs_api

註釋

We develop a DSGE model in which aggregate shocks induce endogenous movements in risk. The key feature of our model is that households rebalance their financial profolio allocations infrequently, as they face a fixed cost of transferring cash across accounts. We show that the model can account for the mean returns on equity and the risk-free rate, and generates countercyclical movements in the equity premium that help explain the response of stock prices to monetary shocks. The model is consistent with empirical evidence documenting that unanticipated changes in monetary policy have important effects on equity prices through changes in risk.