Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp - National Bureau of Economic Research (NBER) - 2014
We present a dynamic heterogeneous-agent asset pricing model in which monetary policy affects the risk premium component of the cost of capital. Risk tolerant agents (banks) borrow from risk averse agents (depositors) and invest in risky assets subject to a reserve requirement. By varying the...