MONETARY POLICY, REDISTRIBUTION, AND RISK PREMIA

• 成果类型: Article
• 署名作者: Kekre, Rohan; Lenel, Moritz
• 署名单位: National Bureau of Economic Research
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• 发表日期: 2022
• 页码: 2249-2282
• 关键词: TIME-VARYING RISK; uncertainty shocks; rare disasters; asset; Heterogeneity; identification; MARKETS; MODEL; STOCK; consumption

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.