| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20141 |
| 来源ID | Working Paper 20141 |
| A Model of Monetary Policy and Risk Premia | |
| Itamar Drechsler; Alexi Savov; Philipp Schnabl | |
| 发表日期 | 2014-05-15 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We develop a dynamic asset pricing model in which monetary policy affects the risk premium component of the cost of capital. Risk-tolerant agents (banks) borrow from risk-averse agents (i.e. take deposits) to fund levered investments. Leverage exposes banks to funding risk, which they insure by holding liquidity buffers. By changing the nominal rate the central bank influences the liquidity premium in financial markets, and hence the cost of taking leverage. Lower nominal rates make liquidity cheaper and raise leverage, resulting in lower risk premia and higher asset prices, volatility, investment, and growth. We analyze forward guidance, a "Greenspan put", and the yield curve. |
| 主题 | Macroeconomics ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w20141 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577815 |
| 推荐引用方式 GB/T 7714 | Itamar Drechsler,Alexi Savov,Philipp Schnabl. A Model of Monetary Policy and Risk Premia. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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