期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2005
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：This paper analyses the relationship between monetary policy and asset prices in the
context of optimal policy rules. The transmission mechanism is represented by a linearized
rational expectations model augmented for the effect of asset prices on aggregate demand.
Stabilization objectives are represented by a discounted quadratic loss function penalizing
inflation and output gap volatility. Asset prices are allowed to deviate from their intrinsic
value due to momentum trading. We find that in the presence of wealth effects and
inefficient markets, asset price misalignments from their fundamentals should be included
in the optimal interest rate reaction function.
