Monetary Policy as a Driver of Financial Markets

许多人认为，各国央行的行动和沟通是遏制2008-09年金融危机和新冠肺炎疫情带来的经济影响的重要工具。尽管金融市场显然是央行官员的重要信息来源，但一方面对金融市场数据的分析，另一方面对通胀和失业率的分析通常是分开进行的，限制了它们的共同潜力。该项目将开发一种新的完全结构化的宏观金融模型和解决方法，将小规模标准新凯恩斯主义货币政策模型与基于习惯形成偏好的金融市场风险贴现标准模型相结合。该项目开发的计算平台将允许广泛的研究人员分析金融习惯偏好。通过使用这一平台，学术界和政策机构的研究人员将能够开发自己的金融市场风险宏观经济驱动因素模型，最终导致更好地理解这些风险是如何受到政策和政策决策外部力量的影响的。PI将开发第一个概念验证模型，该模型将标准的新凯恩斯主义货币政策模型(例如Gali(2008))与高度非线性的金融偏好和相应的解决技术相结合。虽然这一拟议模型的金融和宏观经济两个方面在各自的独立文献中都取得了成功，但事实证明，将两者结合起来的任务具有挑战性。标准的新凯恩斯主义模型的一个缺点是，它们假设投资者不断规避风险，因此意味着股票和债券的价格过于平稳。另一方面，金融研究长期以来的一个见解是，投资者对高风险股票和债券进行贴现，这些风险贴水可能很大且波动很大(参见Cochrane(2017))。金融研究中的一种成功方法是基于家庭习惯的形成，这意味着随着消费下降到缓慢变化的习惯水平，投资者需要更大的风险折扣，就像在一系列不利的经济冲击之后的情况一样(Campbell和Cochrane(1999)，Wachter(2005))。这项研究的一个关键技术贡献将是指定一个宏观经济模型和解决方法，该模型和解决方法保留了Campbell，Pfleger和Viceira(2020年)的S的金融习惯偏好的完全非线性，这是同时建模股票收益波动和利率货币政策规则所必需的。然后，研究小组将使用这个模型来推进我们对金融市场中三个经验性高频事实的经济学理解：(A)为什么股市对美联储的声明反应如此强烈(伯南克和库特纳(2005))？该项目提出，货币政策之所以在股市中移动风险贴现，正是因为它对实体经济具有强大的作用。(B)在短期利率为零的情况下，货币政策的有效性如何？这个项目将新地将货币政策的约束从时变风险厌恶中分离出来，作为股市在衰退期间对宏观经济消息反应更强烈的原因(Boyd，Hu和Jagannathan(2005)以及Law，Song和Yaron(2020))。(C)这个项目将研究在美联储一再令公众惊讶之后，对货币政策规则的学习达到了什么程度，并展示这种学习如何有助于长期国债收益率对货币政策声明的有时令人费解的反应，例如在2004年的“利率难题”期间。该奖项反映了NSF的法定使命，并通过使用基金会的智力优势和更广泛的影响审查标准进行评估，被认为值得支持。

The actions and communications of central banks were viewed by many as important tools to contain the economic fallout from the financial crisis of 2008-09 and the Covid-19 pandemic. Even though financial markets are clearly an important source of information for central bankers, the analyses of financial markets data on the one hand and inflation and unemployment on the other usually proceed separately, limiting their joint potential. This project will develop a new fully structural macro-finance model and solution method integrating a small-scale standard New Keynesian model of monetary policy with a standard model of risk discounts in financial markets based on habit formation preferences. The computational platform developed by this project will allow a broad set of researchers to analyze finance habit preferences. By using this platform, researchers in academia and policy institutions will be able to develop their own models of the macroeconomic drivers of risks in financial markets, ultimately leading to a better understanding of how these risks are impacted by forces external to policy and policy decisions. The PI will develop the first proof of concept model that integrates a standard New Keynesian model of monetary policy (e.g. Gali (2008)) with highly non-linear finance preferences and a corresponding solution technique. While both the finance and the macroeconomic sides of this proposed model have been successful in their independent literatures, the task of combining them has proven challenging. One shortcoming of standard New Keynesian models is that they assume constant risk aversion and therefore imply overly smooth prices for stocks and bonds. On the other hand, a long-standing insight from finance research is that investors discount risky stocks and bonds, and that these risk discounts can be large and volatile (see e.g. Cochrane (2017) for a review). A successful approach in finance research has been based on households’ habit formation, which implies that investors require steeper risk discounts as consumption falls towards a slowly moving habit level, as would be the case after a sequence of adverse economic shocks (Campbell and Cochrane (1999), Wachter (2005)). A key technical contribution of this research will be to specify a macroeconomic model and solution method preserving the full nonlinearity of Campbell, Pflueger and Viceira (2020)’s finance habit preferences, which is needed to simultaneously model volatile stock returns and a monetary policy rule for interest rates. The research team will then use this model to advance our economic understanding of three empirical high-frequency facts in financial markets: (a) Why do stock markets respond so strongly to announcements by the Federal Reserve (Bernanke and Kuttner (2005))? This project proposes that monetary policy moves risk discounts in the stock market precisely because it is powerful for the real economy. (b) How effective is monetary policy when short-term interest rates are stuck at zero? This project will newly disentangle constraints on monetary policy from time-varying risk aversion as reasons why the stock market responds more strongly to macroeconomic news during recessions (Boyd, Hu and Jagannathan (2005) and Law, Song, and Yaron (2020)). (c) This project will study to what extent learning about the monetary policy rule occurs after the Federal Reserve has repeatedly surprised the public and show how this learning contributes to sometimes puzzling responses of long-term Treasury bond yields to monetary policy announcements, such as during the “interest rate conundrum” of 2004.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.