أعرض تسجيلة المادة بشكل مبسط

dc.creator Valckx, Nico
dc.date 2003
dc.date.accessioned 2013-10-16T07:04:08Z
dc.date.available 2013-10-16T07:04:08Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19315
dc.identifier ppn:360038077
dc.identifier RePEc:zbw:hwwadp:26301
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19315
dc.description This 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.
dc.language eng
dc.publisher
dc.relation HWWA Discussion Paper 217
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E44
dc.subject G12
dc.subject ddc:330
dc.subject dividend price ratio
dc.subject dynamic Gordon model
dc.subject asset price bubbles
dc.subject Taylor rule
dc.subject Kapitalertrag
dc.subject Börsenkurs
dc.subject Bubbles
dc.subject Wertpapieranalyse
dc.subject Volatilität
dc.subject Inflationserwartung
dc.subject Capital Asset Pricing Model
dc.subject Geldpolitik
dc.subject Schätzung
dc.subject Vereinigte Staaten
dc.subject EU-Staaten
dc.title Price dividend models, expectations formation, and monetary policy
dc.type doc-type:workingPaper
dc.coverage 1979-2002


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أعرض تسجيلة المادة بشكل مبسط