Monetary Policy and Wealth Effects: The Role of Risk and Heterogeneity

• 成果类型: Article
• 署名作者: Caramp, Nicolas; Silva, Dejanir H.
• 署名单位: University of California System; University of California Davis; Purdue University System; Purdue University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70021
• 发表日期: 2026-04
• 页码: 1011-1052
• 关键词: rare disasters; asset; MARKETS; prices; redistribution; substitution; consumption; models; state; debt

摘要

We study the role of asset revaluation in the monetary transmission mechanism. We build an analytical heterogeneous-agents model with two main ingredients: (i) rare disasters and (ii) heterogeneous beliefs. The model captures time-varying risk premia and precautionary savings in a setting that nests the textbook New Keynesian model. The model generates large movements in asset prices after a monetary shock but these movements can be neutral on real variables. Real effects depend on the redistribution among agents with heterogeneous precautionary motives. In quantitative analysis, we find that this channel can account for a large fraction of the transmission to aggregate consumption.