演講者簡介 : Professor Nicolas Caramp received his PhD from the Massachusetts Institute of Technology in 2017. He is currently an Assistant Professor of Economics at the University of California, Davis. His research focuses on two related themes: financial frictions and monetary theory.
演講摘要 : We study the role of wealth effects, i.e. the revaluation of real and financial assets,
in the monetary policy transmission mechanism. We build an analytical heterogeneousagents model with three main ingredients: i) rare disasters; ii) heterogeneous portfolios; and iii) heterogeneous MPCs. The model captures time-varying risk premia and precautionary savings in a linearized setting that nests the textbook New Keynesian model. Quantitatively, the model matches the empirical response of asset prices. The effect of risk premia on the wealth effect is subtle: it affects households’ net asset positions as well as the cost of the consumption bundle. The net effect depends on the government’s liabilities but not on the equity premium. Thus, the transmission of monetary policy through asset prices crucially depends on the composition of government debt.
