Monetary Policy and Asset Valuation

• 成果类型: Article
• 署名作者: Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C.
• 署名单位: University of California System; University of California Berkeley; New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13107
• 发表日期: 2022
• 页码: 967-1017
• 关键词: REGIME SWITCHES; interest-rates; returns; expectations; sensitivity; STABILITY; demand; COSTS; news

摘要

We document large, longer term, joint regime shifts in asset valuations and the real federal funds rate-r*$r<^>{\ast }$ spread. To interpret these findings, we estimate a novel macrofinance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy rule, with long-term consequences for the real interest rate. Estimates imply that two-thirds of the decline in the real interest rate since the early 1980s is attributable to regime changes in monetary policy. The model explains how infrequent changes in the stance of monetary policy can generate persistent changes in asset valuations and the equity premium.