Monetary Policy and the Cyclicality of Risk

Released on by Christopher J. Gust
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  • Monetary Policy and the Cyclicality of Risk Book Detail

  • Author : Christopher J. Gust
  • Release Date : 2010
  • Publisher : DIANE Publishing
  • Genre : Business & Economics
  • Pages : 33
  • ISBN 13 : 1437939082
  • File Size : 61,61 MB
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Monetary Policy and the Cyclicality of Risk by Christopher J. Gust PDF Summary

Book Description: 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.

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