货币政策与资产价格超调：华尔街与主街脱节的理由

IF 7.6 1区经济学 Q1 BUSINESS, FINANCE

Journal of Finance Pub Date : 2024-04-12 DOI:10.1111/jofi.13343

RICARDO J. CABALLERO, ALP SIMSEK

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引用次数: 0

摘要

我们分析了当总需求具有惯性时的最优货币政策及其对资产价格的影响。如果存在负产出缺口，中央银行会以最优方式超调总资产价格（高于与当前潜在产出一致的稳态水平）。超调会导致金融市场与实体经济表现暂时脱节，但会加速经济复苏。当贴现率存在下限约束时，当产出缺口为负数时，宏观经济利好消息对资产价格而言是更好的消息。最后，我们记录了在 COVID-19 经济复苏期间，政策引发的超调幅度很大。

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Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect

We analyze optimal monetary policy and its implications for asset prices when aggregate demand has inertia. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (above their steady-state levels consistent with current potential output). Overshooting leads to a temporary disconnect between the performance of financial markets and the real economy, but accelerates the recovery. When there is a lower bound constraint on the discount rate, good macroeconomic news is better news for asset prices when the output gap is more negative. Finally, we document that during the COVID-19 recovery, the policy-induced overshooting was large.

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来源期刊

Journal of Finance Multiple-

CiteScore

12.90

自引率

2.50%

发文量

期刊介绍： The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.