The Market Price of Risk and Macro-Financial Dynamics
September 22, 2023
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Format: Chicago
Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Summary
Subject: Asset prices, Consumption, Econometric analysis, Estimation techniques, Financial conditions index, Financial sector policy and analysis, National accounts, Prices, Structural vector autoregression
Keywords: Asset prices, Asset Pricing, Bond risk premia, Causal Identification, Consumption, Consumption Volatility, Contractionary monetary policy shock, Estimation techniques, Financial Conditions Index, Global, Macro-Finance, Market Price of Risk, Monetary Policy, Structural vector autoregression, Tightening of financial conditions, VFCI shock
Publication Details
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Pages:
87
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Volume:
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DOI:
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Issue:
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Series:
Working Paper No. 2023/199
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Stock No:
WPIEA2023199
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ISBN:
9798400255397
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ISSN:
1018-5941
