985数量经济与金融系列讲座第90期：The Wall Street concerns might be right: Equilibrium correlations of asset price do change with monetary policy

题目: The Wall Street concerns might be right: Equilibrium correlations of asset price do change with monetary policy

主讲: Charles Leung

City University of Hong Kong

时间：2009年3月2日（周一）下午4: 00—5:30

地点：经济学院614会议室

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.