On the Structural Interpretation of the Smets-Wouters “Risk Premium” Shock

This article shows that the "risk premium" shock in Smets and Wouters (2007) can be interpreted as a structural shock to the demand for safe and liquid assets such as short-term US Treasury securities. Several implications of this interpretation are discussed.

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Year of publication:	2014-10-22
Authors:	Fisher, Jonas D. M.
Institutions:	Federal Reserve Bank of Chicago
Subject:	Smets-Wouters model \| safe and liquid assets \| money demand \| risk premium \| shock \| New Keynesian model \| DSGE \| flight-to-quality \| liquidity preference

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Extent:	application/pdf
Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Paper Series Number WP-2014-8 15 pages
Classification:	E00 - Macroeconomics and Monetary Economics. General ; E1 - General Aggregative Models ; E3 - Prices, Business Fluctuations, and Cycles ; E4 - Money and Interest Rates ; E5 - Monetary Policy, Central Banking and the Supply of Money and Credit ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011093785