Arbeitspapier
Macro risk premium and intermediary balance sheet quantities
The macro risk premium measures the threshold return for real activity that receives funding from savers. We base our argument in this paper on the relationship between the macro risk premium and the growth of financial intermediaries' balance sheets. The spare capacity of their balance sheets determines the intermediaries' risk appetite, which in turn determines the real projects that receive funding and, hence, the supply of credit. Monetary policy affects risk appetite by changing the ability of intermediaries to leverage their capital. We estimate the time-varying risk appetite of financial intermediaries for the United States, Germany, the United Kingdom, and Japan, and study the joint dynamics of risk appetite using macroeconomic aggregates for the United States. We argue that risk appetite is an important indicator of monetary conditions.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 428
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy
Financial Economics: General
- Thema
-
Monetary policy
financial intermediation
capital markets
Finanzintermediär
Risikoprämie
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Adrian, Tobias
Moench, Emanuel
Shin, Hyun Song
- Ereignis
-
Veröffentlichung
- (wer)
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Federal Reserve Bank of New York
- (wo)
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New York, NY
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Adrian, Tobias
- Moench, Emanuel
- Shin, Hyun Song
- Federal Reserve Bank of New York
Entstanden
- 2010