A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a “COVID-19” Shock
研究大规模衰退冲击后内生风险容忍度下降与货币政策如何相互作用，发现资产价格下跌导致风险容忍者财富份额减少，进而引发资产价格和总需求的下行螺旋，而大规模资产购买通过将风险转移至政府资产负债表来有效应对。
Abstract We theoretically investigate the interaction of endogenous risk intolerance and monetary policy following a large recessionary shock. As asset prices dip, risk-tolerant agents’ wealth share declines. This decline reduces the market’s risk tolerance and triggers a downward loop in asset prices and aggregate demand when the interest rate policy is constrained. In this context, large-scale asset purchases are effective because they transfer unwanted risk to the government’s balance sheet. These effects are sizable when the model is calibrated to match the estimates of aggregate asset demand inelasticity. The COVID-19 shock illustrates the environment we seek to capture.