On the Structural Interpretation of the Smets-Wouters 'Risk Premium' Shock

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Protectionism and the business cycle (2021, background): “Nevertheless, as shown by Fisher (2015), the shock Λat can be interpreted as a structural shock to the demand for safe and liquid assets, i.e., Λat captures, in reduced form, stochastic fluctuations in household preferences for holding one-period nominally risk-free assets.”
Forward Guidance and Macroeconomic Outcomes since the Financial Crisis (2016, methodology): “In addition to introducing forward guidance we enhance the model by including a household preference for safe and liquid assets as suggested by Fisher (2015) and Jaimovich and Rebelo (2009) (JR) preferences over consumption and work.”
Endogenous Technology Adoption and R&D as Sources of Business Cycle Persistence (2019, methodology): “Queralto (2015), Guerron-Quintana and Jinnai (2014) and Garcia-Macia (2015) have appealed to endogenous growth considerations to explain the persistence of financial crises.”