Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/174171
Authors: 
Horvath, Roman
Kaszab, Lorant
Year of Publication: 
2016
Series/Report no.: 
IES Working Paper No. 04/2016
Abstract: 
This short paper shows that a New Keynesian model with limited asset market participation can generate a high risk-premium on unlevered equity relative to short-term risk-free bonds and high variability of equity returns driven by monetary policy shocks with zero persistence.
Subjects: 
limited participation
monetary policy
DSGE
equity premium
JEL: 
E32
E44
G12
Document Type: 
Working Paper

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