Asset price volatility, price markups, and macroeconomic fluctuations

• 成果类型: Article
• 署名作者: Iraola, Miguel A.; Santos, Manuel S.
• 署名单位: University of Miami
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.07.002
• 发表日期: 2017
• 页码: 84-98
• 关键词: Technological innovations; Price markups; stock market volatility; Price-dividend ratio; taxes

摘要

A variant of the neoclassical growth model is considered to study the role of innovation, lags in technology adoption, total factor productivity TFP, and price markups as main determinants of asset price volatility. The model confers a prominent role to price markups as opposed to other macroeconomic sources of uncertainty. In the data, price markups are highly correlated with stock market values, whereas other financial measures of profitability exhibit much less volatility and are weakly correlated with stock market values. (C) 2017 Elsevier B.V. All rights reserved.