Inflation Illusion, Credit, and Asset Pricing
Inflation Illusion, Credit, and Asset Pricing
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通货膨胀幻觉、信贷和资产定价
DOI：
10.7208/9780226092126-007
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
Martin Schneider
中科院分区：
文献类型：
--
作者：
Monika Piazzesi;Martin Schneider
本文在一个一般均衡模型中考虑了资产定价，在这个模型中，一些但不是所有的代理人都受到通货膨胀错觉的影响。虚幻的投资者将名义利率的变化误认为实际利率的变化，而聪明的投资者理解费舍尔方程。聪明的投资者的存在确保了均衡名义利率与预期通胀一起变动。该模型还预测了住房价格租金比和名义利率之间的非单调关系--名义利率特别低和特别高的时候都会出现房地产繁荣。在这两种情况下，聪明和虚幻的投资者在实际利率问题上的分歧会刺激借贷，并推高抵押品价格。如果信贷市场更发达，由此产生的房地产热潮会更强劲。我们的文件显示，许多国家在高通胀的20世纪70年代经历了房地产繁荣，在低通胀的21世纪头10年经历了第二次更强劲的繁荣。
This paper considers asset pricing in a general equilibrium model in which some, but not all, agents suffer from inflation illusion. Illusionary investors mistake changes in nominal interest rates for changes in real rates, while smart investors understand the Fisher equation. The presence of smart investors ensures that the equilibrium nominal interest rate moves with expected inflation. The model also predicts a nonmonotonic relationship between the price-to-rent ratio on housing and nominal interest rates -- housing booms occur both when the nominal rate is especially low and when it is especially high. In either situation, disagreement about real interest rates between smart and illusionary investors stimulates borrowing and lending and drives up the price of collateral. The resulting housing boom is stronger if credit markets are more developed. We document that many countries experienced a housing boom in the high-inflation 1970s and a second, stronger, boom in the low-inflation 2000s.