On Liquidity Shocks and Asset Prices
On Liquidity Shocks and Asset Prices
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关于流动性冲击和资产价格
DOI：
10.1111/jmcb.12928
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发表时间：
2022
期刊：
影响因子：
--
通讯作者：
JINNAI RYO
中科院分区：
文献类型：
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作者：
GUERRON‐QUINTANA PABLO A.;JINNAI RYO
在金融摩擦模型中，股市繁荣往往伴随着不利的流动性冲击。这一发现显然与数据不符。我们证明了这种反事实的结果是特定于具有外生增长的真实商业周期模型的。一旦我们考虑到内生生产率和增长，这种令人困惑的价格动态就很容易消失。直观地说，不利的流动性冲击之后，黯淡的经济增长前景会在股息增长中产生可预测的长期负面因素，从而导致股价暴跌。
In models of financial frictions, stock market booms tend to follow adverse liquidity shocks. This finding is clearly at odds with the data. We demonstrate that this counterfactual result is specific to real business cycle models with exogenous growth. Once we allow for both endogenous productivity and growth, this puzzling price dynamic easily disappears. Intuitively, the gloomy economic‐growth outlook following an adverse liquidity shock generates a predictable and negative long‐run component in dividend growth, leading to the collapse of equity prices.