Transmission of Monetary Policy with Heterogeneity in Household Portfolios
在新凯恩斯商业周期模型中引入不可保收入风险和不同流动性资产，发现家庭投资组合异质性通过投资边际倾向和流动性溢价两个渠道影响货币政策传导，并提供了流动性溢价逆周期和家庭投资组合反应异质性的实证证据。
This paper assesses the importance of heterogeneity in household portfolios for the transmission of monetary policy in a New Keynesian business cycle model with uninsurable income risk and assets with different liquidity. In this environment, monetary transmission works through investment, but redistribution lowers the elasticity of investment via two channels: (i) heterogeneity in marginal propensities to invest, and (ii) time variation in the liquidity premium. Monetary contractions redistribute to wealthy households who have high propensities to invest and a low marginal value of liquidity, thereby stabilizing investment. I provide empirical evidence for countercyclical liquidity premia and heterogeneity in household portfolio responses.