| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14435 |
| DP14435 Monetary and Macroprudential Policy with Endogenous Risk | |
| Tobias Adrian; Fernando Duarte; Nellie Liang; Pawel Zabczyk | |
| 发表日期 | 2020-02-23 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We extend the New Keynesian (NK) model to include endogenous risk. Lower interest rates not only shift consumption intertemporally but also conditional output risk via the impact on risk-taking, giving rise to a vulnerability channel of monetary policy. The model fits the conditional output gap distribution and can account for medium-term increases in downside risks when financial conditions are loose. The policy prescriptions are very different from those in the standard NK model: monetary policy that focuses purely on inflation and output-gap stabilization can lead to instability. Macroprudential measures can mitigate the intertemporal risk-return tradeoff created by the vulnerability channel. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | monetary policy Macroprudential policy Macro-finance |
| URL | https://cepr.org/publications/dp14435 |
| 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/543332 |
| 推荐引用方式 GB/T 7714 | Tobias Adrian,Fernando Duarte,Nellie Liang,et al. DP14435 Monetary and Macroprudential Policy with Endogenous Risk. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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