Use this URL to cite or link to this record in EThOS:
Title: Asset pricing in dynamic macroeconomics
Author: Nath, Rahul
Awarding Body: University of Oxford
Current Institution: University of Oxford
Date of Award: 2017
Availability of Full Text:
Access from EThOS:
Full text unavailable from EThOS. Please try the link below.
Access from Institution:
How does monetary policy affect financial markets? Coming out of the financial crisis much ink, both academic and non-academic, has been spilled trying to under- stand how policy makers should react to mitigate such a financial crisis. While there has been significant focus, justifiably, on crises, policy design and financial market transmission, there is very little theoretical work on how the effects of central bank policy transmits to asset prices. This thesis contends that the reasons for this dearth of theoretical research are two-fold - the dominance of log-linearisation in the New Keynesian tradition and a move to marginalise labour market channels in the asset pricing literature. The first means that these models fail to satisfactorily explain asset prices, while the second is a response to the perverse movements of employment in these models. Furthermore, attempts to fix the second problem make the first prob- lem even worse. I begin this thesis by addressing these two concerns. I show that by addressing them one can better explain reality both in terms of the business cycle and asset prices within this models. I proceed to develop a non-linear New Keynesian model and use it to construct a non-linear asset pricing relationship. Finally, I use this non-linear model, as a laboratory to analyse the transmission to financial markets of central banking policy following various simple Taylor rules. This work allows one to move from a situation where the impact of policy is well understood to one where the understanding is as yet incomplete. The insights gleaned from this research can be used to inform policy design with some understanding of the expected impact on asset markets.
Supervisor: Vines, David Sponsor: Clarendon Trust
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: Economics