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

Jonas Fisher ()

Journal of Money, Credit and Banking, 2015, vol. 47, issue 2-3, 511-516

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 U.S. Treasury securities. Several implications of this interpretation are discussed.

Date: 2015
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Working Paper: On the Structural Interpretation of the Smets-Wouters “Risk Premium” Shock (2014) Downloads
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