Ambiguity in a Pandemic Recession, Asset Prices, and Lockdown Policy
Ambiguity in a Pandemic Recession, Asset Prices, and Lockdown Policy
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大流行性衰退、资产价格和封锁政策的模糊性
DOI：
10.1111/jpet.12591
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发表时间：
2022
影响因子：
1.1
通讯作者：
Keiichi Morimoto and Shiba Suzuki
中科院分区：
文献类型：
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作者：
Hoshikawa Takeshi;Inagaki Kazuyuki;石原俊時;松中学;グスタフ・カッセル;三浦 壮;清水 剛;K.セーレン;橋口勝利;竹野学;岩井克人・スズキトモ・清水剛;杉本弘幸;小林延人;杉本弘幸;橋口 勝利;竹野学;Jie Qin;小林延人;松中学;Shiba Suzuki and Hiroaki Yamagami;Jie Qin;杉本弘幸;金城亜紀・粟田口太郎;松中学;原暉之・兎内勇津流・竹野学・池田裕子編著;Keiichi Morimoto and Shiba Suzuki
使用包含大流行灾难的多部门生产经济的资产定价模型，我们解释了美国和日本在COVID - 19大流行衰退期间的平均股价上涨和股票回报的显著横截面变化。我们发现，大流行的两个特征，即模糊性和特定行业冲击，是观察到的不寻常资产价格动态的关键决定因素。我们扩展了该模型，分析了流行病期间封锁政策对异质家庭的福利影响。我们从理论上表明，实施封锁改善了资产持有者和在特定行业受到积极冲击的行业工作的家庭的福利。因此，帕累托最优封锁政策控制封锁的严密性，以最大限度地提高在具有负面部门特定冲击的部门工作的家庭的福利。
Using an asset pricing model of a multisector production economy including pandemic disaster, we explain the average stock price boom and significant cross‐sectional variation of stock returns in the United States and Japan during the COVID‐19 pandemic recession. We find that two features of the pandemic, namely ambiguity and sector‐specific shocks, are critical determinants of the unusual asset price dynamics observed. Extending the model, we analyze the welfare effects of lockdown policy during pandemics for heterogeneous households. We theoretically show that enforcing a lockdown improves the welfare of asset holders and households working in sectors with positive sector‐specific shocks. Consequently, a Pareto‐optimal lockdown policy controls for the tightness of lockdown to maximize the welfare of households working in sectors with negative sector‐specific shocks.