MONETARY POLICY, REDISTRIBUTION, AND RISK PREMIA

被引：0
|
作者：
Kekre, Rohan [1 ,2 ]
Lenel, Moritz
机构：
[1] Chicago Booth, Chicago, IL 60637 USA
[2] NBER, Cambridge, MA 02138 USA
来源：
ECONOMETRICA | 2022年 / 90卷 / 05期
关键词：
Monetary policy; risk premia; heterogeneous agents; TIME-VARYING RISK; UNCERTAINTY SHOCKS; RARE DISASTERS; ASSET; HETEROGENEITY; IDENTIFICATION; MARKETS; MODEL; STOCK; CONSUMPTION;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study the transmission of monetary policy through risk premia in a heterogeneous agent New Keynesian environment. Heterogeneity in households' marginal propensity to take risk (MPR) summarizes differences in portfolio choice on the margin. An unexpected reduction in the nominal interest rate redistributes to households with high MPRs, lowering risk premia and amplifying the stimulus to the real economy. Quantitatively, this mechanism rationalizes the role of news about future excess returns in driving the stock market response to monetary policy shocks and amplifies their real effects by 1.3-1.4 times.
引用
收藏
页码：2249 / 2282
页数：34
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