全球智库信息集成服务系统(G2TT): Monetary Policy, Redistribution, and Risk Premia

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w28869
来源ID	Working Paper 28869
	Monetary Policy, Redistribution, and Risk Premia
	Rohan Kekre; Moritz Lenel
发表日期	2021-05-31
出版年	2021
语种	英语
摘要	We study the transmission of monetary policy through risk premia in a heterogeneous agent New Keynesian environment. Heterogeneity in households' marginal propensity to take risk (MPR) summarizes differences in portfolio choice on the margin. An unexpected reduction in the nominal interest rate redistributes to households with high MPRs, lowering risk premia and amplifying the stimulus to the real economy. Quantitatively, this mechanism rationalizes the role of news about future excess returns in driving the stock market response to monetary policy shocks and amplifies their real effects by 1.3-1.4 times.
主题	Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w28869
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/586543
推荐引用方式 GB/T 7714	Rohan Kekre,Moritz Lenel. Monetary Policy, Redistribution, and Risk Premia. 2021.