Collaborative Research: Heterogeneity, Risk Premia, and Macroeconomic Fluctuations

摘要金融资产的总风险敞口是不同的。例如，投资股票市场比投资短期政府债券风险大得多。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存在差异。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。该项目将增进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市场联系起来，这些市场在很大程度上是脱节的。提出的研究在一个统一的框架内考虑了总风险、投资组合选择的异质性和名义刚性。该项目旨在通过考虑风险溢价变动与实体经济之间的关系，探索宏观经济冲击传导的研究问题。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。该奖项反映了美国国家科学基金会的法定使命，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。

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.