Asset Prices, Commodity Prices, and Money: A General Equilibrium, Rational Expectations Model
构建了一个一般均衡理性预期模型，分析商品价格如何影响投资者福利和金融资产的预期回报，发现实际和货币扰动会导致通胀与股权收益之间出现意外关系。
An expected-utility-maximizing investor spends his portfolio income on commodities and real balances. Commodity prices and asset payoffs are determined endogenously in general equilibrium. The impact of commodity prices on investor welfare yields surprising relationships among the expected returns required on financial assets. Real (monetary) disturbances can generate a neg ative (positive) correlation between inflation and equity payoffs, but the expected nominal return on the equity can still be less (greater) than the nominal interest rate. The expected nominal return on an indexed bond can be greater than on a nominal bond. The expected real return on an equity can be lower than on an indexed bond. Copyright 1988 by American Economic Association.