Morimoto Keiichi, Suzuki Shiba
School of Political Science and Economics Meiji University Chiyoda-ku Tokyo Japan.
Faculty of Economics Seikei University Musashino-shi Tokyo Japan.
J Public Econ Theory. 2022 May 5. doi: 10.1111/jpet.12591.
Using an asset pricing model of a multisector production economy including pandemic disaster, we explain the average stock price boom and significant cross-sectional variation of stock returns in the United States and Japan during the COVID-19 pandemic recession. We find that two features of the pandemic, namely ambiguity and sector-specific shocks, are critical determinants of the unusual asset price dynamics observed. Extending the model, we analyze the welfare effects of lockdown policy during pandemics for heterogeneous households. We theoretically show that enforcing a lockdown improves the welfare of asset holders and households working in sectors with positive sector-specific shocks. Consequently, a Pareto-optimal lockdown policy controls for the tightness of lockdown to maximize the welfare of households working in sectors with negative sector-specific shocks.
通过使用一个包含大流行灾难的多部门生产经济的资产定价模型，我们解释了新冠疫情衰退期间美国和日本股票平均价格的飙升以及股票回报显著的横截面差异。我们发现，疫情的两个特征，即不确定性和特定行业冲击，是观察到的异常资产价格动态的关键决定因素。扩展该模型后，我们分析了疫情期间封锁政策对异质家庭的福利影响。我们从理论上表明，实施封锁会提高资产持有者以及在受到特定行业正向冲击的部门工作的家庭的福利。因此，帕累托最优的封锁政策会控制封锁的严格程度，以最大化在受到特定行业负向冲击的部门工作的家庭的福利。
