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| Author: | Boyle, G. W. Young, L. |
| Title: | Asset prices, commodity prices, and money: a general equilibrium, rational expectations model |
| Journal: | American Economic Review
1988 : MAR, VOL. 78:1, p.24-45 |
| Index terms: | ASSETS COMMODITIES EXPECTANCY THEORY |
| Language: | eng |
| Abstract: | A consumption-based model of asset pricing is developed, integrating the real financial and monetary sectors of the economy. The role of equities as hedges against inflation is examined. The challenge posed by the recent empirical evidence is outlined. The correlation between price fluctuations and nominal returns is analyzed. The correlation structure of asset payoffs and commodity prices is derived within a general equilibrium model of the underlying economy with explicitly modeled disturbances in output and the money supply. Attention is given to the implications of random disturbances for the Fisher hypothesis, that inflation is fully incorporated into nominal interest rates. |
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