Collaborative Research: Heterogeneity, Risk Premia, and Macroeconomic Fluctuations
合作研究:异质性、风险溢价和宏观经济波动
基本信息
- 批准号:2117478
- 负责人:
- 金额:$ 24.35万
- 依托单位:
- 依托单位国家:美国
- 项目类别:Standard Grant
- 财政年份:2021
- 资助国家:美国
- 起止时间:2021-07-15 至 2024-06-30
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
AbstractFinancial assets differ in their exposure to aggregate risk. Investing in the stock market, for instance, is substantially riskier than investing in short-term government bonds. There is substantial heterogeneity across households, financial institutions, and countries in their portfolios of these assets, suggesting that investors differ in their capacity or willingness to bear risk. This project studies how this heterogeneity matters for the transmission of business cycle shocks and macroeconomic policy. The project will improve our understanding on macro-financial linkages and will have potential implications for monetary policy and financial markets.The project bridges recent advances in heterogeneous agent New Keynesian models and asset pricing with segmented markets, which have been largely disconnected. The proposed research accounts for aggregate risk, heterogeneity in portfolio choice, and nominal rigidities within a unified framework. The project aims to explore research questions on the transmission of macroeconomic shocks by taking into account the relationship between movements in risk premia and the real economy. The project will further consider the role of the dollar in the international financial system, and the role of asset prices in the design of optimal stabilization policy.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.
摘要金融资产的总风险敞口不同。例如,投资股票市场的风险远远高于投资短期政府债券。在家庭、金融机构和国家之间,这些资产的投资组合存在很大的异质性,这表明投资者承担风险的能力或意愿不同。本项目研究这种异质性如何影响商业周期冲击和宏观经济政策的传导。该项目将提高我们对宏观金融联系的理解,并将对货币政策和金融市场产生潜在影响。该项目将异质代理新凯恩斯模型和资产定价的最新进展与分割的市场联系起来,这些市场在很大程度上是脱节的。拟议的研究占总风险,投资组合选择的异质性,名义刚性在一个统一的框架内。该项目的目的是探讨宏观经济冲击传递的研究问题,同时考虑到风险溢价变动与真实的经济之间的关系。 该项目将进一步考虑美元在国际金融体系中的作用,以及资产价格在设计最佳稳定政策中的作用。该奖项反映了NSF的法定使命,并通过使用基金会的知识价值和更广泛的影响审查标准进行评估,被认为值得支持。
项目成果
期刊论文数量(0)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)
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Moritz Lenel其他文献
Back to the 1980s or Not? The Drivers of Inflation and Real Risks in Treasury Bonds *
回到 20 世纪 80 年代还是不?
- DOI:
- 发表时间:
- 期刊:
- 影响因子:0
- 作者:
Carolin E. Pflueger;Adrien Auclert;Francesco Bianchi;Stefania D’Amico;John Y. Campbell;Anna Cieślak;Wioletta Dziuda;Mark Gertler;Simon Gilchrist;Joshua D Gottlieb;François Gourio;Emi Nakamura;Anil Kashyap;Moritz Lenel;M. Lettau;S. Ludvigson;Xiaoji Lin;Harald Uhlig;Rosen Valchev;Luis M. Viceira;Min Wei;Gianluca Rinaldi;J. Steinsson - 通讯作者:
J. Steinsson
Monetary Policy, Segmentation, and the Term Structure
货币政策、细分和期限结构
- DOI:
- 发表时间:
2024 - 期刊:
- 影响因子:0
- 作者:
Rohan Kekre;Moritz Lenel;F. Mainardi - 通讯作者:
F. Mainardi
No . 17-010 Safe Assets , Collateralized Lending and Monetary Policy
不 。
- DOI:
- 发表时间:
2017 - 期刊:
- 影响因子:0
- 作者:
Moritz Lenel - 通讯作者:
Moritz Lenel
Scalable Intangibles: To Buy or to Build? ∗
可扩展的无形资产:购买还是构建?
- DOI:
- 发表时间:
- 期刊:
- 影响因子:0
- 作者:
†. AnshuChen;.. JihongSong;§. ‡SifanXue;Moritz Lenel;Ernest Liu;Adrien Matray;Ezra Oberfield;Jonathan Payne;Wei Xiong - 通讯作者:
Wei Xiong
Housing Policies and the Homeownership Rate ∗
住房政策和住房拥有率*
- DOI:
- 发表时间:
2014 - 期刊:
- 影响因子:0
- 作者:
M. Giacoletti;Moritz Lenel - 通讯作者:
Moritz Lenel
Moritz Lenel的其他文献
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