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Risk Premiums, Nominal Rigidities, and Limited Asset Market Participation
Journal of Money, Credit and Banking ( IF 1.963 ) Pub Date : 2021-05-20 , DOI: 10.1111/jmcb.12793
LORENZO MENNA , PATRIZIO TIRELLI

Recent developments in the asset pricing literature show that a combination of technology and distributive shocks can rationalize observed risk premia when firm ownership is concentrated in the hands of few households. We find that distributive shocks are unnecessary when nominal price rigidity is taken into account. Our results are driven by the income redistribution associated to procyclical variations in profit margins when firms ownership is concentrated, prices are sticky, and technology shocks hit the economy. In this regard, standard DSGE models that allow for firm ownership concentration have the potential to replicate both business cycle facts and the moments of financial variables.

中文翻译:

风险溢价、名义刚性和有限的资产市场参与

资产定价文献的最新发展表明,当公司所有权集中在少数家庭手中时,技术和分配冲击的结合可以使观察到的风险溢价合理化。我们发现,当考虑名义价格刚性时,分配冲击是不必要的。我们的结果是由与利润率的顺周期变化相关的收入再分配所驱动的,当公司所有权集中、价格具有粘性以及技术冲击对经济造成冲击时。在这方面,允许公司所有权集中的标准 DSGE 模型有可能复制商业周期事实和金融变量的时刻。
更新日期:2021-05-20
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