|
|||||
|
|
On the Structural Interpretation of the Smets–Wouters “Risk Premium” Shock |
|
| Authors: | JONAS DM FISHER |
| Abstract: | This article shows that the “risk premium” shock in Smets and Wouters (2007) can be interpreted as a structural shock to the demand for safe and liquid assets such as short‐term U.S. Treasury securities. Several implications of this interpretation are discussed. |
| Keywords: | E00 E1 E3 E4 E5 G1 Smets Wouters model safe and liquid assets money demand risk premium shock New Keynesian model DSGE flight to quality liquidity preference |
