Monetary policy and the cyclicality of risk

• 成果类型: Article
• 署名作者: Gust, Christopher; Lopez-Salido, David
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.11.008
• 发表日期: 2014
• 页码: 59-75
• 关键词: Segmented markets; equity premium; Monetary policy rules

摘要

A dynamic general equilibrium model to study the relationship between monetary policy and movements in risk is developed. Variation in risk arises because households face fixed costs of transferring cash across financial accounts, implying that some households rebalance their portfolios infrequently. Accordingly, prices for risky assets respond sharply to aggregate shocks because only a relatively small subset of consumers are available to absorb these shocks. The model can account for both the mean and the volatility of returns on equity and the risk-free rate and generates a decline in the equity premium following an unanticipated easing of monetary policy. Published by Elsevier B.V.