经济与社会研究院SEMINAR第94期

题目：Monetary Policy and the Equity Premia

主讲人：彭玉磊，中山大学

时间：2018年4月20日15:00-16:15

地点：暨南大学中惠楼106B会议室

主讲人简介：

彭玉磊，中山大学岭南学院经济学系助理教授。本科毕业于华中科技大学，硕士毕业于香港大学和北京大学，分别获得金融学和经济学硕士学位。博士毕业于德州农工大学，获得经济学博士学位。主要研究领域为货币经济学和应用计量，研究成果已在Journal of Econometrics，Journal of Futures Markets和《经济研究》 等期刊上发表。

Abstract:

We study the effect of monetary policy on the equity premium using a segmented stock market model. Optimal monetary policy in our model involves risk-sharing and is countercyclical with respect to dividend shocks; thus, it implies low equity return compared to other policies, including inflation targeting. The optimal policy, however, does not guarantee inflation stability and produces higher nominal bond return compared to inflation targeting. Our calibration exercise finds equity premium of 7% under the inflation targeting policy and 1.5% under the optimal policy. We suggest that suboptimal policies focusing on inflation stability might result in high equity premia.