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doctoral thesis

Asset Pricing and Monetary Policy

Gauderon, Nicolas  
2022

Classical theory asserts that the formation of prices is the result of aggregated decisions of economics agent such as households or corporation. However central banks are very important agents that have often been neglected in asset pricing models. Central banks decisions or monetary policy indeed appears to be a first order determinant of prices. This thesis aims to develop an asset pricing model that explicitly incorporates a central bank and to analyze the determination of monetary policy and its impact on financial markets. My results should help to improve our understanding of asset prices in the context of a monetary economy. Therefore results should help both to improve portfolio management in presence of an active monetary policy and to give central bankers a better understanding of their own market impact thus helping them to design better monetary policy.

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Type
doctoral thesis
DOI
10.5075/epfl-thesis-8210
Author(s)
Gauderon, Nicolas  
Advisors
Hugonnier, Julien  
Jury

Prof. Pierre Collin Dufresne (président) ; Prof. Julien Hugonnier (directeur de thèse) ; Prof. Semyon Malamud, Prof. Tony Berrada, Prof. Pascal St-Amour (rapporteurs)

Date Issued

2022

Publisher

EPFL

Publisher place

Lausanne

Public defense year

2022-03-25

Thesis number

8210

Total of pages

152

Subjects

Asset pricing

•

monetary policy

•

central bank

•

general equilibrium

•

continuous time

EPFL units
SFI-JH  
School
SFI  
Doctoral School
EDFI  
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/186522
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