Monetary Policy, Redistribution, and Risk Premia
نویسندگان
چکیده
We study the transmission of monetary policy through risk premia in a heterogeneous agent New Keynesian environment. Heterogeneity households' marginal propensity to take (MPR) summarizes differences portfolio choice on margin. An unexpected reduction nominal interest rate redistributes households with high MPRs, lowering and amplifying stimulus real economy. Quantitatively, this mechanism rationalizes role news about future excess returns driving stock market response shocks amplifies their effects by 1.3–1.4 times.
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ژورنال
عنوان ژورنال: Econometrica
سال: 2022
ISSN: ['0012-9682', '1468-0262']
DOI: https://doi.org/10.3982/ecta18014