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Cited by 241

The DOI matches its Crossref record; 6 of the 6 references it cites were found in a registry or an index.

A Model of Monetary Policy and Risk Premia

Open access
DRECHSLER, ITAMAR, SAVOV, ALEXI, SCHNABL, PHILIPP·2018·The Journal of Finance
DOI 10.1111/jofi.12539
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Abstract

We develop a dynamic asset pricing model in which monetary policy affects the risk premium component of the cost of capital. Risk‐tolerant agents (banks) borrow from risk‐averse agents (i.e., take deposits) to fund levered investments. Leverage exposes banks to funding risk, which they insure by holding liquidity buffers. By changing the nominal rate the central bank influences the liquidity premium, and hence the cost of taking leverage. Lower nominal rates make liquidity cheaper and raise leverage, resulting in lower risk premia and higher asset prices, volatility, investment, and growth. We analyze forward guidance, a “Greenspan put,” and the yield curve.

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Metadata

Authors
DRECHSLER, I., SAVOV, A., & SCHNABL, P.
Venue
The Journal of Finance
Publisher
Wiley
Published
2017-07-26
Volume
73
Issue
1
Pages
317-373
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/jofi.12539
OpenAlex
W3122038471
Cited by
241
References
6
FWCI
34.14
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: A Model of Monetary Policy and Risk Premia. https://app.cochat.ai/papers/10.1111/jofi.12539
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DRECHSLER, I., SAVOV, A., & SCHNABL, P. (2018). A Model of Monetary Policy and Risk Premia. The Journal of Finance. https://doi.org/10.1111/jofi.12539

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.