【本期主题】Active Monetary or Fiscal Policy and Stock-Bond Correlation
We propose a New Keynesian model with monetary-fiscal policy regime switch to explain the time-varying correlation between returns on the market portfolio and nominal Treasury bonds found in the data. In the active monetary and passive fiscal policy (AMPF) regime, neutral technology (NT) and marginal efficiency of investment (MEI) shocks are the most important drivers of economic fluctuations and the stockbond correlation. In the passive monetary and active fiscal policy (PMAF) regime, the effect of the NT shock is depressed due to the weak reaction of short-term nominal interest rate to inflation, while the effect of the MEI shock remains strong. Because the NT shock leads to positive stock-bond correlation in the AMPF regime, while the MEI shock leads to negative correlation in the PMAF regime, our model provides a coherent explanation for the negative correlation between the market portfolio and long-term nominal Treasury bond returns during 1950s and 2000s when the fiscal policies are active, and for the positive correlation during 1980-2000 when monetary policies are active.
李学楠，长江商学院金融学副教授，罗切斯特大学金融学博士、马萨诸塞州大学物理学博士。2007-2012在美国密歇根大学Ross商学院担任金融学助理教授。2012年加入长江商学院，教授资产证券化和行为金融学等课程，主要从事资产定价，货币政策，及公司治理方向的学术研究，她的论文在顶级杂志Review of Financial Studies, Journal of Monetary Economics, and Management Sciences 上发表。