A Model of Monetary Policy and Risk Premia

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Effects of Unconventional Monetary Policy on Financial Institutions (2014, background): “…requirements, the decline in the opportunity cost leads to larger total portfolios and higher leverage (Stein, 2012; Dell’Ariccia et al., 2014; Drechsler et al., 2013).6 Brunnermeier and Sannikov (2014) describe a related phenomenon stemming from the low volatility environment induced by low…”
Monetary Policy, Financial Conditions, and Financial Stability (2014, background): “Duarte and Eisenbach (2013) quantify repo runs and find large spillovers, with potentially systemic effects. Another source of financial stability risk emanating from shadow banking is related to the perception of tail risk. Misperceived tail risk matters for monetary policy, as it affects estimates”