| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24362 |
| 来源ID | Working Paper 24362 |
| The Tail that Keeps the Riskless Rate Low | |
| Julian Kozlowski; Laura Veldkamp; Venky Venkateswaran | |
| 发表日期 | 2018-02-26 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Riskless interest rates fell in the wake of the financial crisis and have remained low. We explore a simple explanation: This recession was perceived as an extremely unlikely event before 2007. Observing such an episode led all agents to re-assess macro risk, in particular, the probability of tail events. Since changes in beliefs endure long after the event itself has passed, perceived tail risk remains high, generates a demand for riskless, liquid assets, and continues to depress the riskless rate. We embed this mechanism in a simple production economy with liquidity constraints and use observable macro data, along with standard econometric tools, to discipline beliefs about the distribution of aggregate shocks. When agents observe an extreme, adverse realization, they re-estimate the distribution and attach a higher probability to such events recurring. As a result, even transitory shocks have persistent effects because, once observed, the shock stays forever in the agents' data set. We show that our belief revision mechanism can help explain the persistent nature of the fall in the risk-free rates. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w24362 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582034 |
| 推荐引用方式 GB/T 7714 | Julian Kozlowski,Laura Veldkamp,Venky Venkateswaran. The Tail that Keeps the Riskless Rate Low. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24362.pdf（1451KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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