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      A New Keynesian Approach to Consumption Based Asset Pricing

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      TSANG-THESIS-2018.pdf (467.6Kb)
      Date
      2018-09-21
      Author
      Tsang, Christopher W 1990-
      Type
      Thesis
      Degree Level
      Masters
      Metadata
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      Abstract
      In the decade following the global financial crisis, modern monetary theory has been forced to push the envelope via interventionist interest rate policy across geographies, and even open market asset purchases by central banks in select geographies, testing the bounds of optimal monetary policy. The unprecedented entanglement of monetary policy and asset prices alludes to a relative blind-spot in the New Keynesian literature – embedding asset pricing explicitly. The purpose of this paper is to develop an asset pricing model where monetary policy impacts real variables and thus can be analyzed – the ambition is to provide a proof-of-concept in developing a lens through which one may observe the effect monetary policy has on the real economy via symptoms observed in financial markets (e.g. risk premiums) in a paradigm consistent with modern New Keynesian theory. While asset pricing models and New Keynesian monetary models exist individually, the challenge is integrating the two concepts in an appropriate framework and interpreting the result.
      Degree
      Master of Arts (M.A.)
      Department
      Economics
      Program
      Economics
      Supervisor
      Pollak, Andreas
      Committee
      Chaban, Maxym; Shao, Enchuan; Slade, Peter; Sari, Nazmi
      Copyright Date
      October 2018
      URI
      http://hdl.handle.net/10388/10845
      Subject
      New Keynesian
      Asset Pricing
      Macroeconomics
      Economics
      Finance
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      • Graduate Theses and Dissertations
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