題目: The Wall Street concerns might be right: Equilibrium correlations of asset price do change with monetary policy
主講: Charles Leung
City University of Hong Kong
時間🧑🏻🦼：2009年3月2日（周一）下午4: 00—5:30
地點🦑：意昂2平台614會議室
Abstract: This paper confirms the Wall Street concerns that the equilibrium correlations of asset price change significantly across different monetary policies with a dynamic stochastic general equilibrium model. In general, while a stock price inflation targeting policy may stabilize the relative volatility of the stock price, it may de-stabilize the house price, and vice versa. The serial and cross-asset correlations, and relative persistence of asset prices are positive, and vary significantly across monetary policies, suggesting country-specific and policy-dependent portfolio allocations. Impulse responses of asset prices under price inflation targeting and house price inflation targeting are very similar.
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