Liquidity, Term Spreads and Monetary Policy
构建了一个市场分割模型，银行面临期限风险时的投资组合决策内生驱动期限利差变化，预期盈利性影响利差，进而通过投资影响宏观经济，并分析了央行购买资产的非常规货币政策传导新渠道。
We propose a model with segmented markets that delivers endogenous variations in term spreads driven by banks' portfolio decisions while facing maturity risk. Future profitability influences the term premium that banks require to carry this risk. When expected profitability is relatively high (low) spreads are low (high). Spread fluctuations feed back into the macroeconomy through investment decisions. Econometric evidence corroborates this link between expected financial profitability and yield spreads. Finally, we analyse unconventional monetary policy by allowing banks to sell assets to the central bank. These interventions exploit a new channel of policy transmission through banks' portfolio choice affecting the yield curve.