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The Equity Premium, Long-Run Risk, & Optimal Monetary Policy
Diercks, Anthony M. - 2015
In this study I examine the welfare implications of monetary policy by constructing a novel New Keynesian model that properly accounts for asset pricing facts. I find that the Ramsey optimal monetary policy yields an inflation rate above 3.5% and inflation volatility close to 1.5%. The same...
Persistent link: https://www.econbiz.de/10013014250
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Risk Shocks and Housing Markets
Dorofeenko, Victor - 2010
This paper analyzes the role of uncertainty in a multi-sector housing model with financial frictions. We include time … varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that …
Persistent link: https://www.econbiz.de/10013142481
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Risk shocks and housing markets
Lee, Gabriel S.; Dorofeenko, Victor; Salyer, Kevin Duff - 2010
This paper analyzes the role of uncertainty in a multi-sector housing model with financial frictions. We include time … varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that … countercyclical behavior of risk premia on loans to the housing sector. -- Agency costs ; credit channel ; time-varying uncertainty …
Persistent link: https://www.econbiz.de/10008657366
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Time-varying risk shocks and the zero lower bound
Strobel, Johannes; Lee, Gabriel S.; Salyer, Kevin Duff - 2019
This paper shows that increased volatility of Örm-level productivity can push the nominal interest rate to its lower bound with large amplification effects on macroeconomic aggregates. The framework combines a simple canonical Önancial accelerator model, time varying risk shocks, and a zero...
Persistent link: https://www.econbiz.de/10012231163
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Central Bank Tone and Currency Risk Premia
Dossani, Asad - 2020
I analyze how the tone of central bank press conferences impacts risk premia in the currency market. I measure tone as the difference between the number of hawkish and dovish phrases made during a press conference. I show that central bank tone contemporaneously explains option implied risk...
Persistent link: https://www.econbiz.de/10012850585
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On the Structural Interpretation of the Smets-Wouters 'Risk Premium' Shock
Fisher, Jonas D. M. - 2014
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
Persistent link: https://www.econbiz.de/10013044848
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Time Variation in Macro-Financial Linkages
Prieto, Esteban - 2016
We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...
Persistent link: https://www.econbiz.de/10012988788
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Bond Premium Cyclicality and Liquidity Traps
Caramp, Nicolas - 2020
Safe asset shortages can expose the economy to liquidity traps. The nature of these traps is determined by the cyclicality of the bond premium. Self-fulfilling liquidity traps are associated with a counter-cyclical bond premium. Small issuances of government debt crowd out private debt and...
Persistent link: https://www.econbiz.de/10012842573
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Government Bond Risk Premia and the Cyclicality of Fiscal Policy
Christoffel, Kai - 2011
We introduce a specification of habit formation featuring non-separability between consumption and leisure into an otherwise standard New Keynesian model. The model can be estimated with standard Bayesian techniques and the bond pricing implications are evaluated using higher-order...
Persistent link: https://www.econbiz.de/10013117682
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The External Finance Premium in the Euro Area : A Useful Indicator for Monetary Policy?
Gelain, Paolo - 2010
In this paper I estimate a New Keynesian Dynamic Stochastic General Equilibrium model for the Euro Area, which closely follows the structure of the model developed by Smets and Wouters (2003, 2005, 2007), with the addition of the so-called financial accelerator mechanism developed in Bernanke,...
Persistent link: https://www.econbiz.de/10013145340