Unsurprising Shocks: Information, Premia, and the Monetary Transmission
نویسندگان
چکیده
منابع مشابه
Liquidity, Risk Premia, and the Financial Transmission of Monetary Policy
In recent years there has been a resurgence of research on the transmission of monetary policy through the financial system, fueled in part by empirical findings showing that monetary policy affects asset prices and the financial system in ways not explained by the New Keynesian paradigm. In particular, monetary policy appears to impact risk premia in stock and bond prices, and to effectively c...
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We investigate whether the financial system dampens or exacerbates monetary shocks of inflation uncertainty to the economy. Our GMM-estimates for 88 countries over a period of 25 years show that inflation uncertainty has a positive and significant impact on the volatility of economic growth. More importantly, we find that financial development dampens the negative effects of inflation uncertain...
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University of Wisconsin-Madison and NBER, respectively. We would like to thank NSF for providing financial support for this research. Part of this work was done when both authors visited the Bank of Portugal, which provided a stimulating research environment. We also thank John Kennan, Bob Lucas, Tom Sargent, Nancy Stokey, Steve Williamson, an associate editor of the Journal and seminar partici...
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We study an equilibrium in which agents face surprise liquidity shocks and invest in liquid and illiquid riskless assets. The random holding horizon from liquidity shocks makes the return of the illiquid security risky. The equilibrium premium for such risk depends on the constraint that agents face when borrowing against future income; it is insignificant without borrowing constraint, but can ...
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Adding variable capital utilisation to a dynamic new Keynesian framework gives a model which can produce realistic responses to both technology and monetary shocks. This requires the assumption of a much lower level of nominal rigidity than is usual.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2865585