On the Structural Interpretation of the Smets-Wouters “Risk Premium” Shock

Jonas Fisher

No WP-2014-8, Working Paper Series from Federal Reserve Bank of Chicago

Abstract: 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.

Keywords: Smets-Wouters model; safe and liquid assets; money demand; risk premiums; shock; New Keynesian model; DSGE; flight-to-quality; liquidity preference (search for similar items in EconPapers)
JEL-codes: E00 E1 E3 E4 E5 G1 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2014-10-22
New Economics Papers: this item is included in nep-dge and nep-mac
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Related works:
Journal Article: On the Structural Interpretation of the Smets–Wouters “Risk Premium” Shock (2015)
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