Asset-return anomalies in a monetary economy

DOI10.1016/0022-0531(87)90018-4MaRDI QIDQ1088569zbMATH OpenOpenAlexFDO

Authors Robert M. Townsend

Publication date 1987

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-0531(87)90018-4

zbMATH Keywords

general equilibrium, choice theoretic, spatial modelmonetary equilibrium

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Review text

This paper provides a general equilibrium, choice theoretic, spatial model which explains the preference for holding barren money rather than interest-bearing securities or capital goods. Put somewhat differently, it examines standard asset pricing relationships in the context of a fully articulated monetary economy and delivers various asset-return anomalies. In seeking to integrate the theory of value with the theory of money, a fairly general proof of the existence of a monetary equilibrium is provided.

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Cites work

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Cited in

(6)

• Money, capital, and redistributive effects of monetary policies
• Hyperbolic efficiency and return to the dollar
• Explaining international comovements of output and asset returns: The role of money and nominal rigidities.
• On the positive fundamental value of money with short-sale constraints
• Inflation and asset prices in a monetary economy
• Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy

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