Asset Prices and Pandemics: The Effects of Lockdowns-Reference-Cited by-同舟云学术

Asset Prices and Pandemics: The Effects of Lockdowns

Published:2021-09-24 Issue:01 Volume:12 Page:
ISSN:2010-1392
Container-title:The Quarterly Journal of Finance
language:en
Short-container-title:Quart. J. of Fin.

Author:

Detemple Jerome¹

Affiliation:

1. Questrom School of Business, Boston University, 595 Commonwealth Avenue, Boston, MA, 02215, USA

Abstract

We examine the impact of pandemics on equilibrium in an integrated epidemic-economy model with production. Two types of technologies are considered: a neo-classical technology and one capturing the notion of time-to-produce. The impact of a shelter-in-place policy with and without layoffs is studied. The paper documents adjustments in interest rate, market price of risk, stock market and real wage as the epidemic propagates. It shows the qualitative effects of a shelter-in-place policy in the model are consistent with the patterns displayed by the stock market and real wage during the COVID-19 outbreak. Puzzles emerging from the analysis are outlined.

Publisher

World Scientific Pub Co Pte Ltd

Subject

Strategy and Management,Economics and Econometrics,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S201013922240002X

Reference11 articles.

1. Consumption, production, inflation and interest rates

2. Asset Prices in an Exchange Economy with Habit Formation

3. Coronavirus: Impact on Stock Prices and Growth Expectations

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