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http://hdl.handle.net/10419/19315
  

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dc.contributor.authorValckx, Nicoen_US
dc.coverage.temporal1979-2002en_US
dc.date.accessioned2009-01-28T15:57:14Z-
dc.date.available2009-01-28T15:57:14Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/19315-
dc.description.abstractThis paper applies the Campbell-Shiller (1988) methodology to estimate a price dividend model with volatility and inflation risk, extending existing models in this field. The model fits the data well over the period 1979-2002 for the Euro Area, but less so for the U.S. The latter is interpreted as reflecting fads and is borne out by a decomposition of the price dividend ratio into a fundamental and bubble part. Finally, it is shown that deviations from fundamentals enter significantly in the Fed?s interest rate reaction function but at the cost of destabilising monetary policy. Alternatively, in case that Fed policy remained stable, there was not much of attention to asset bubbles. For the Euro Area, historically, the reaction function does not appear to react much to asset prices.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesHWWA Discussion Paper 217en_US
dc.subject.jelE44en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keyworddividend price ratioen_US
dc.subject.keyworddynamic Gordon modelen_US
dc.subject.keywordasset price bubblesen_US
dc.subject.keywordTaylor ruleen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwBubblesen_US
dc.subject.stwWertpapieranalyseen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwInflationserwartungen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwSchätzungen_US
dc.subject.stwVereinigte Staatenen_US
dc.subject.stwEU-Staatenen_US
dc.titlePrice dividend models, expectations formation, and monetary policyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn360038077en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:hwwadp:26301-
Appears in Collections:HWWA Discussion Paper, Hamburgisches Welt-Wirtschafts-Archiv

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