| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13815
|
| DP13815 A Risk-centric Model of Demand Recessions and Speculation |
| Ricardo Caballero; Alp Simsek
|
| 发表日期 | 2019-06-18
|
| 出版年 | 2019
|
| 语种 | 英语
|
| 摘要 | We provide a continuous-time "risk-centric" representation of the New Keynesian model, which we use to analyze the interactions between asset prices, financial speculation, and macroeconomic outcomes when output is determined by aggregate demand. In principle, interest rate policy is highly effective in dealing with shocks to asset valuations. However, in practice monetary policy faces a wide range of constraints. If these constraints are severe, a decline in risky asset valuations generates a demand recession. This reduces earnings and generates a negative feedback loop between asset prices and aggregate demand. In the recession phase, average beliefs matter not only because they affect asset valuations but also because they determine the strength of the amplification mechanism. In the ex-ante boom phase, belief disagreements (or heterogeneous asset valuations) matter because they induce investors to speculate. This speculation exacerbates the crash by reducing high-valuation investors' wealth when the economy transitions to recession, which depresses (wealth-weighted) average beliefs. Macroprudential policy that restricts speculation in the boom can Pareto improve welfare by increasing asset prices and aggregate demand in the recession. |
| 主题 | Financial Economics
; International Macroeconomics and Finance
; Monetary Economics and Fluctuations
|
| 关键词 | Asset prices
Aggregate demand
Time-varying risk premium
Interest rate rigidity
Booms and recessions
Belief disagreements
Speculation
Monetary and macroprudential policy
Uncertainty shocks
Extrapolation
|
| URL | https://cepr.org/publications/dp13815-3
|
| 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/542682
|
推荐引用方式
GB/T 7714 |
Ricardo Caballero,Alp Simsek. DP13815 A Risk-centric Model of Demand Recessions and Speculation. 2019.
|
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