| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30132 |
| 来源ID | Working Paper 30132 |
| A Monetary Policy Asset Pricing Model | |
| Ricardo J. Caballero; Alp Simsek | |
| 发表日期 | 2022-06-13 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We propose a model where monetary policy is the key determinant of aggregate asset prices (financial conditions). Spending decisions are made by a group of agents ("households") that respond to aggregate asset prices, but with noise, delays, and inertia. Asset pricing is determined by a different group of forward-looking agents ("the market"). The central bank ("the Fed") targets asset prices to close the output gap. Our model explains several facts, including why the Fed stabilizes asset price fluctuations driven by financial market shocks ("the Fed put/call"), but destabilizes asset prices in response to aggregate demand or supply shocks that induce macroeconomic imbalances (as in the late stages of the Covid-19 recovery). Although the Fed targets asset prices, it "cooperates" with the market to achieve its desired asset price. When the market and the Fed have different beliefs, the market perceives monetary policy "mistakes" that influence the policy rate the Fed needs to set. These perceived "mistakes" induce a policy risk premium and may generate a "behind the curve" phenomenon. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w30132 |
| 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/587804 |
| 推荐引用方式 GB/T 7714 | Ricardo J. Caballero,Alp Simsek. A Monetary Policy Asset Pricing Model. 2022. |
| 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 | ||
| w30132.pdf（411KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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