Asset Prices, Tail Risks and the Macroeconomy

在本文中，我研究了风险溢价（而非基本面）的变动如何影响资产价格，以及这些变动如何反馈到经济的真实的方面。为了做到这一点，我使用了一个与Caballero和Simsek（2020）相同的模型，其中经济中的风险量是内生决定的，并且在很大程度上取决于投机者的信念。主要的创新在于对投机者的信念进行建模，以适应尾部风险和极端事件的存在。尾部风险的存在意味着风险资产价格和安全收益率面临持续的下行压力。然后从货币政策的角度研究最优稳定策略。

In this paper I study how movements in risk premia, and not fundamentals, affect asset prices and, in turn, how those feed back to the real side of the economy. To do so, I use a model in the same spirit of Caballero and Simsek (2020), where the amount of risk in the economy is endogenously determined and crucially depends on speculators' beliefs. The main innovation is in modelling speculators' belief to accommodate the presence of tail risks and extreme events. The presence of tail risks implies a persistent downward pressure on risky asset prices and safe yields. I then study the optimal stabilization strategy from the perspective of monetary policy.