モリモト　ケイイチ   MORIMOTO KEIICHI   盛本　圭一    所属   明治大学  政治経済学部    職種   専任准教授
言語種別	英語
発行・発表の年月	2022/10
形態種別	学術雑誌
査読	査読あり
標題	Ambiguity in a pandemic recession, asset prices, and lockdown policy
執筆形態	共著(筆頭者)
掲載誌名	Journal of Public Economic Theory
掲載区分	国外
出版社・発行元	Wiley-Blackwell
巻・号・頁	24(5),pp.1039-1070
担当区分	筆頭著者
著者・共著者	Keiichi Morimoto, Shiba Suzuki
概要	Using an asset pricing model of a multi-sector production economy with pandemic disasters, we explain the average stock price boom and significant cross-sectional variation of stock returns in the US and Japan during the COVID-19 pandemic recession. Two features of the pandemic, ambiguity and sector-specific shocks, are crucial determinants of the unusual asset price dynamics. Extending the model, we analyze the welfare effects of lockdown policies during pandemics for heterogeneous households and obtain the following results. Enforcing a lockdown improves the welfare of the asset-holders and the household working in the sector with positive sector-specific shocks. A Pareto optimal lockdown policy controls the tightness of the lockdown so as to maximize the welfare of the household working in the sector with negative sector- specific shocks.
DOI	10.1111/jpet.12591
PermalinkURL	https://onlinelibrary.wiley.com/doi/10.1111/jpet.12591