| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7727 |
| DP7727 Monetary Policy and the Cyclicality of Risk | |
| J David López-Salido; Christopher Gust | |
| 发表日期 | 2010-03-07 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We use a DSGE model that generates endogenous movements in risk premia to examine the positive and normative implications of alternative monetary policy rules. As emphasized by the microfinance literature, variation in risk arises because households face fixed costs of transferring cash across financial accounts, implying that some households rebalance their portfolios infrequently. We show that the model can account for the mean returns on equity and the risk-free rate, and in line with empirical evidence generates a decline in the equity premium following an unanticipated easing of monetary policy. An important result that emerges from our analysis is that countercyclical monetary policy generates higher average welfare than constant money growth or zero inflation policies. |
| 主题 | International Macroeconomics |
| 关键词 | Countercyclical equity premium monetary policy Portfolio inertia Segmented markets |
| URL | https://cepr.org/publications/dp7727 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536563 |
| 推荐引用方式 GB/T 7714 | J David López-Salido,Christopher Gust. DP7727 Monetary Policy and the Cyclicality of Risk. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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