| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27856 |
| 来源ID | Working Paper 27856 |
| Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion | |
| Carolin Pflueger; Gianluca Rinaldi | |
| 发表日期 | 2020-09-28 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We build a new model integrating a work-horse New Keynesian model with investor risk aversion that moves with the business cycle. We show that the same habit preferences that explain the equity volatility puzzle in quarterly data also naturally explain the large high-frequency stock response to Federal Funds rate surprises. In the model, a surprise increase in the short-term interest rate lowers output and consumption relative to habit, thereby raising risk aversion and amplifying the fall in stocks. The model explains the positive correlation between changes in breakeven inflation and stock returns around monetary policy announcements with long-term inflation news. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w27856 |
| 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/585530 |
| 推荐引用方式 GB/T 7714 | Carolin Pflueger,Gianluca Rinaldi. Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion. 2020. |
| 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 | ||
| w27856.pdf（731KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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