| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14627 |
| DP14627 Asset Prices and Aggregate Demand in a "Covid-19" Shock: A Model of Endogenous Risk Intolerance and LSAPs | |
| Ricardo Caballero; Alp Simsek | |
| 发表日期 | 2020-04-16 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions following a large real (non-financial) shock; and (ii) demonstrate the effectiveness of Large Scale Asset Purchases (LSAPs) in addressing these contractions. The key mechanism stems from heterogeneous risk tolerance: as a recessionary shock hits the economy and brings down asset prices, risk-tolerant agents' wealth share declines and their leverage rises endogenously. This reduces the market's risk tolerance and generates downward pressure on asset prices and aggregate demand. When monetary policy is unconstrained, it can offset the decline in risk tolerance with an interest rate cut that boosts the market's Sharpe ratio. However, if the interest rate policy is constrained, new contractionary feedbacks arise: recessionary shocks lead to further asset price and output drops, which feed the risk-off episode and trigger a downward loop. In this context, LSAPs improve asset prices and aggregate demand by transferring risk to the government's balance sheet, which reduces the market's required Sharpe ratio. Optimal LSAPs are larger when the (consolidated) government has greater future fiscal capacity and the downward spiral is more severe. In an extension, we show how corporate debt overhang problems strengthen our mechanisms. The Covid-19 shock and the large response by all the major central banks provide a vivid illustration of the environment we seek to capture. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Risk intolerance Leverage Asset price spirals Risk-off Aggregate supply and demand Conventional and unconventional monetary policy Multiple equilibria Lsaps The fed put Covid-19 |
| URL | https://cepr.org/publications/dp14627-3 |
| 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/543538 |
| 推荐引用方式 GB/T 7714 | Ricardo Caballero,Alp Simsek. DP14627 Asset Prices and Aggregate Demand in a "Covid-19" Shock: A Model of Endogenous Risk Intolerance and LSAPs. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Ricardo Caballero]的文章 |
| [Alp Simsek]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Ricardo Caballero]的文章 |
| [Alp Simsek]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Ricardo Caballero]的文章 |
| [Alp Simsek]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
