Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/19315 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorValckx, Nicoen
dc.date.accessioned2009-01-28T15:57:14Z-
dc.date.available2009-01-28T15:57:14Z-
dc.date.issued2003-
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
dc.language.isoengen
dc.publisher|aHamburg Institute of International Economics (HWWA) |cHamburgen
dc.relation.ispartofseries|aHWWA Discussion Paper |x217en
dc.subject.jelE44en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keyworddividend price ratioen
dc.subject.keyworddynamic Gordon modelen
dc.subject.keywordasset price bubblesen
dc.subject.keywordTaylor ruleen
dc.subject.stwKapitalertragen
dc.subject.stwBörsenkursen
dc.subject.stwBubblesen
dc.subject.stwWertpapieranalyseen
dc.subject.stwVolatilitäten
dc.subject.stwInflationserwartungen
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwGeldpolitiken
dc.subject.stwSchätzungen
dc.subject.stwVereinigte Staatenen
dc.subject.stwEU-Staatenen
dc.titlePrice dividend models, expectations formation, and monetary policy-
dc.typeWorking Paperen
dc.identifier.ppn363657452en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:hwwadp:26301en

Files in This Item:
File
Size
360.05 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.