Monetary Policy and Asset Valuation
研究发现资产估值与实际联邦基金利率之间存在长期联合制度转换，通过宏观金融模型估计，自1980年代初以来实际利率下降的三分之二归因于货币政策规则参数的变化。
ABSTRACT We document large, longer term, joint regime shifts in asset valuations and the real federal funds rate‐ spread. To interpret these findings, we estimate a novel macrofinance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy rule, with long‐term consequences for the real interest rate. Estimates imply that two‐thirds of the decline in the real interest rate since the early 1980s is attributable to regime changes in monetary policy. The model explains how infrequent changes in the stance of monetary policy can generate persistent changes in asset valuations and the equity premium.