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Monetary Policy and the Cyclicality of Risk
Christopher J. Gust
出版
DIANE Publishing
, 2010
主題
Business & Economics / General
ISBN
1437939082
9781437939088
URL
http://books.google.com.hk/books?id=QVJfToBhROQC&hl=&source=gbs_api
EBook
SAMPLE
註釋
The authors use a DSGE model that generates endogenous movements in risk premia to examine the positive and normative implications of alternative monetary policy rules. Variation in risk arises because households face fixed costs of transferring cash across financial accounts, implying that some households rebalance their portfolios infrequently. The model can account for the mean returns on equity and the risk-free rate, and in line with empirical evidence generates a decline in the equity premium following an unanticipated easing of monetary policy. Countercyclical monetary policy generates higher average welfare than constant money growth or zero inflation policies. Charts and tables. This is a print on demand report.