Monetary Policy, Redistribution, and Risk Premia
研究货币政策如何通过风险溢价传导，发现降息会向高风险承担倾向的家庭再分配，从而降低风险溢价并放大对实体经济的刺激，其效果约为传统渠道的1.3-1.4倍。
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.