Transmission of Policy Shocks in a Monetary Asset-Pricing Model

In a framework of a two-country monetary asset-pricing model with production the effects of stochastic and structural fiscal and monetary policy shocks are investigated. The model is kept simple enough to allow the derivation of closed form solutions of the functional equation system for the equilibrium price functions. With money yielding liquidity services in the exchange process some correlation results are derived, especially for the impact of structural and stochastic policy shocks on stock prices, exchange rates etc. Furthermore it is investigated whether shares can provide protection against inflation resulting from monetary shocks.

Transmission of Policy Shocks in a Monetary Asset-Pricing Model

In a framework of a two-country monetary asset-pricing model with production the effects of stochastic and structural fiscal and monetary policy shocks are investigated. The model is kept simple enough to allow the derivation of closed form solutions of the functional equation system for the equilibrium price functions. With money yielding liquidity services in the exchange process some correlation results are derived, especially for the impact of structural and stochastic policy shocks on stock prices, exchange rates etc. Furthermore it is investigated whether shares can provide protection against International asset markets have grown in size and importance during the last decades and there has been a expansion in the variety of traded assets. It is of increased interest in assessing the efficiency and examining the behavior of asset prices denominated in alternative currencies. In this paper we study the influence of government policy

The Role of Uncertainty in a Simple Temporary Equilibrium Model of International Trade with Quantity Rationing under Fixed Exchange Rates

In a two period model of temporary equilibrium with quantity rationing and international trade under fixed exchange rates expectations concerning future prices and constraints play a significant role in classifying the effective equilibria and for the results of comparative statics. If the production sector can hold inventories (as in our model), the expectational structure influences significantly the sales but not the production and labor demand decisions. This surprising result depends on the way the production process is modelled, revealing the role of an atemporally formulated production structur

Policy Shocks in a Monetary Asset-Pricing Model with Endogenous Production

In a framework of a monetary asset pricing model with production the effects of monetary and fiscal policy shocks are investigated. The model is kept simple enough to generate explicit formulae for the equilibrium price functions. With money yielding liquidity services in the exchange process real stock prices are negatively correlated with stochastic fiscal policy changes, while the impact of structural fiscal policy on the stock market depends on the level of private consumption in the economy. Moreover, shares provide protection against inflation form monetary shocks, and a suitably chosen structural fiscal policy can be used to achieve a stabilization of the real rates of return of both assets.Asset pricing, fiscal policy, monetary policy, interest rate, discrete dynamic models

Structural and stochastic policy shocks in a two-country monetary asset-pricing model with production

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel W 50 (146) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Policy shocks in a monetary asset-pricing model with endogenous production

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 50 (132) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman