Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion
收藏NBER2020-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w27856
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资源简介：
We build a new model integrating a work-horse New Keynesian model with investor risk aversion that moves with the business cycle. We show that the same habit preferences that explain the equity volatility puzzle in quarterly data also naturally explain the large high-frequency stock response to
提供机构：
美国国家经济研究局
创建时间：
2020-09-01
