Monetary Policy, Redistribution, and Risk Premia
Rohan Kekre and
Moritz Lenel
No 28869, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
We study the transmission of monetary policy through risk premia in a heterogeneous agent New Keynesian environment. Heterogeneity in households' marginal propensity to take risk (MPR) summarizes differences in portfolio choice on the margin. An unexpected reduction in the nominal interest rate redistributes to households with high MPRs, lowering risk premia and amplifying the stimulus to the real economy. Quantitatively, this mechanism rationalizes the role of news about future excess returns in driving the stock market response to monetary policy shocks and amplifies their real effects by 1.3-1.4 times.
JEL-codes: E44 E52 G12 (search for similar items in EconPapers)
Date: 2021-05
New Economics Papers: this item is included in nep-cwa, nep-dge, nep-mac, nep-mon and nep-upt
Note: AP EFG ME
References: Add references at CitEc
Citations: View citations in EconPapers (7)
Downloads: (external link)
http://www.nber.org/papers/w28869.pdf (application/pdf)
Related works:
Journal Article: Monetary Policy, Redistribution, and Risk Premia (2022)
Working Paper: Monetary Policy, Redistribution, and Risk Premia (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:28869
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w28869
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by (wpc@nber.org).