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- W2985770238 abstract "We develop a dynamic general equilibrium asset pricing model with heterogeneous beliefs to study the effects of monetary policy on prices, risk premia, asset price bubbles, and financial stability. Bubble risk premia arise from an interaction between disagreements among investors and dynamic trading constraints. Under a non-accommodative monetary policy, liquidity adjusted risk and bubble risk premia increase. We propose a new framework for monetary policy with respect to bubbles. What matters for policy is the trading constrained fraction/mass of agents that disagree about fundamentals (i.e. optimists/pessimists). Accommodative policy can lead to a larger fraction of trading constrained agents that disagree, larger bubbles, and increased systemic risk. An implication of our results is that accommodative monetary policy in response to the ongoing Covid-19 crisis does not increase systemic risk due to asset price bubbles, as long as the policy keeps inflation under control." @default.
- W2985770238 created "2019-11-22" @default.
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- W2985770238 date "2019-01-01" @default.
- W2985770238 modified "2023-09-26" @default.
- W2985770238 title "Risk Premia, Asset Price Bubbles, and Monetary Policy" @default.
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- W2985770238 doi "https://doi.org/10.2139/ssrn.3418576" @default.
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