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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
CESifo Working Paper No. 11049
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
We study the role of asset revaluation in the monetary transmission mechanism. We build an analytical heterogeneous-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia and precautionary savings in a setting that nests the textbook New Keynesian model. The model generates large movements in asset prices after a monetary shock but these movements can be neutral on real variables. Real effects depend on the redistribution among agents with heterogeneous precautionary motives. In a calibrated exercise, we find that this channel accounts for the majority of the transmission to output.
Schlagwörter: 
monetary policy
wealth effects
asset prices
aggregate risk
heterogeneity beliefs
JEL: 
E21
E44
E52
G12
Dokumentart: 
Working Paper
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