Abstract
This paper extends the monetary equilibrium approach of Lioui and Poncet (2004) to a jump-diffusion setting. We show that in the presence of jumps money non-neutrality is preserved and the jump component of the inflation risk premium is affected, in addition to technology factors, by monetary policy variables. Furthermore, we derive, based on our framework, the jump-diffusion dynamics of a nominal short interest rate.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
