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Asset pricing at the zero lower bound.

Howard, Philip.

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Asset pricing at the zero lower bound.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Asset pricing at the zero lower bound./
Author:	Howard, Philip.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
Description:	67 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-11(E), Section: A.
Contained By:	Dissertation Abstracts International77-11A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10120071
ISBN:	9781339812618

Asset pricing at the zero lower bound.
Howard, Philip.

Asset pricing at the zero lower bound. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 67 p.

Source: Dissertation Abstracts International, Volume: 77-11(E), Section: A.

Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2016.

In a New-Keynesian model subject to the zero lower bound (ZLB), constrained monetary policy endogenously results in time-varying equity risk premia and equity-bond market correlations. Liquidity traps at the ZLB are characterized by negatively skewed and increasingly uncertain consumption growth, labor growth, and inflation. Investors with recursive preferences price the liquidity traps, resulting in rising equity risk premiums. Real bond yields and equity returns become negatively correlated at the ZLB, while positive in normal times. The model provides a general equilibrium foundation for 1) the time-varying comovement amongst macroeconomic quantities and asset prices observed during the the Great Recession and 2) why real bonds ceased to provide investors with insurance at the ZLB, precisely when they valued it most.

ISBN: 9781339812618Subjects--Topical Terms:

542899
Finance.

Asset pricing at the zero lower bound.
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245 1 0 $a Asset pricing at the zero lower bound.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2016
300 $a 67 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-11(E), Section: A.
500 $a Adviser: Mariano M. Croce.
502 $a Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2016.
520 $a In a New-Keynesian model subject to the zero lower bound (ZLB), constrained monetary policy endogenously results in time-varying equity risk premia and equity-bond market correlations. Liquidity traps at the ZLB are characterized by negatively skewed and increasingly uncertain consumption growth, labor growth, and inflation. Investors with recursive preferences price the liquidity traps, resulting in rising equity risk premiums. Real bond yields and equity returns become negatively correlated at the ZLB, while positive in normal times. The model provides a general equilibrium foundation for 1) the time-varying comovement amongst macroeconomic quantities and asset prices observed during the the Great Recession and 2) why real bonds ceased to provide investors with insurance at the ZLB, precisely when they valued it most.
590 $a School code: 0153.
650 4 $a Finance. $3 542899
650 4 $a Economic theory. $3 1556984
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710 2 $a The University of North Carolina at Chapel Hill. $b Business Administration. $3 1026784
773 0 $t Dissertation Abstracts International $g 77-11A(E).
790 $a 0153
791 $a Ph.D.
792 $a 2016
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10120071