A Model of Monetary Policy and Risk Premia
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DOI: 10.1111/jofi.12539
Abstract: We develop a dynamic asset pricing model in which monetary policy affects the risk premium component of the cost of capital. Risk†tolerant agents (banks) borrow from risk†averse agents (i.e., take deposits) to fund… read more here.
Keywords: risk premia; risk; model monetary; monetary policy ... See more keywords