On the structural interpretation of the Smets-Wouters "risk premium" shock

Jonas D. M. Fisher

This article shows that the "risk premium" shock in Smets and Wouters (2007) can be interpreted as a structural shock to the demand for safe and liquid assets such as short-term US Treasury securities. Several implications of this interpretation are discussed.

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Year of publication:	2014
Authors:	Fisher, Jonas D. M.
Publisher:	Chicago, Ill. : Federal Reserve Bank of Chicago
Subject:	Smets-Wouters model \| safe and liquid assets \| money demand \| risk premium shock \| New Keynesian model \| DSGE \| flight-to-quality \| liquidity preference \| Schock \| Shock \| Risikoprämie \| Risk premium \| Neoklassische Synthese \| Neoclassical synthesis \| Geldnachfrage \| Money demand \| Theorie \| Theory \| Dynamisches Gleichgewicht \| Dynamic equilibrium \| Liquidität \| Liquidity

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Extent:	Online-Ressource (9, 5 S.)
Series:	Working papers / Federal Reserve Bank of Chicago. - Chicago, Ill. : [Verlag nicht ermittelbar], ISSN 1936-5276, ZDB-ID 2186680-6. - Vol. 2014-08
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/130658 [Handle]
Classification:	E00 - Macroeconomics and Monetary Economics. General ; E1 - General Aggregative Models ; E3 - Prices, Business Fluctuations, and Cycles ; E4 - Money and Interest Rates ; E5 - Monetary Policy, Central Banking and the Supply of Money and Credit ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010418208