| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25344 |
| 来源ID | Working Paper 25344 |
| Monetary Policy and Reaching for Income | |
| Kent Daniel; Lorenzo Garlappi; Kairong Xiao | |
| 发表日期 | 2018-12-10 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We study the impact of monetary policy on investors' portfolio choices and asset prices. Using data on individual portfolio holdings and on mutual fund flows, we find that a low-interest-rate monetary policy increases investors' demand for high-dividend stocks and drives up their prices. The increase in demand is more pronounced among investors who fund consumption using dividend income. To explain these empirical findings, we develop an asset pricing model in which investors have quasi-hyperbolic time preferences and use dividend income as a commitment device to curb their tendency to over-consume. When accommodative monetary policy lowers interest rates, it reduces the income stream from bonds and induces investors who want to keep a desired level of consumption to "reach for income'' by tilting their portfolio toward high-dividend stocks. Our finding suggests that low-interest-rate monetary policy may influence the risk premium of income-generating assets, lead to under-diversification of investors' portfolios, and cause redistributive effects across firms that differ in their dividend policy. |
| 主题 | Macroeconomics ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Behavioral Finance |
| URL | https://www.nber.org/papers/w25344 |
| 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/583017 |
| 推荐引用方式 GB/T 7714 | Kent Daniel,Lorenzo Garlappi,Kairong Xiao. Monetary Policy and Reaching for Income. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25344.pdf（893KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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