{"id":"https://openalex.org/W3088043368","doi":"https://doi.org/10.3386/w27856","title":"Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion","display_name":"Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion","publication_year":2020,"publication_date":"2020-09-01","ids":{"openalex":"https://openalex.org/W3088043368","doi":"https://doi.org/10.3386/w27856","mag":"3088043368"},"language":"en","primary_location":{"id":"doi:10.3386/w27856","doi":"https://doi.org/10.3386/w27856","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w27856","pdf_url":"https://doi.org/10.3386/w27856","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"volume":null,"type":"report","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.3386/w27856","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5053504813","display_name":"CAROLIN E. PFLUEGER","orcid":"https://orcid.org/0000-0002-3666-3178","observed_orcids":["https://orcid.org/0000-0002-3666-3178"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I40347166","display_name":"University of Chicago","ror":"https://ror.org/024mw5h28","country_code":"US","type":"education","lineage":["https://openalex.org/I40347166"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Carolin Pflueger","raw_affiliation_strings":["University of Chicago Harris School of Public Policy 1307 E 60th St Chicago , IL 60637 and","National Bureau of Economic Research (NBER); University of Chicago - Harris School of Public Policy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Chicago Harris School of Public Policy 1307 E 60th St Chicago , IL 60637 and","institution_ids":["https://openalex.org/I40347166"]},{"raw_affiliation_string":"National Bureau of Economic Research (NBER); University of Chicago - Harris School of Public Policy","institution_ids":["https://openalex.org/I1321305853","https://openalex.org/I40347166"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5037733365","display_name":"Gianluca Rinaldi","orcid":"https://orcid.org/0000-0003-4835-3406","observed_orcids":["https://orcid.org/0000-0003-4835-3406"]},"institutions":[{"id":"https://openalex.org/I136199984","display_name":"Harvard University","ror":"https://ror.org/03vek6s52","country_code":"US","type":"education","lineage":["https://openalex.org/I136199984"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Gianluca Rinaldi","raw_affiliation_strings":["Harvard University","Harvard University, Department of Economics,;"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Harvard University","institution_ids":["https://openalex.org/I136199984"]},{"raw_affiliation_string":"Harvard University, Department of Economics,;","institution_ids":["https://openalex.org/I136199984"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":35,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.8476999998092651,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.8476999998092651,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.11190000176429749,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.019899999722838402,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/federal-reserve","display_name":"Federal Reserve","score":0.5849999785423279},{"id":"https://openalex.org/keywords/monetary-policy","display_name":"monetary policy","score":0.8149999976158142},{"id":"https://openalex.org/keywords/time-varying-risk-aversion","display_name":"time-varying risk aversion","score":0.8529999852180481},{"id":"https://openalex.org/keywords/habit-formation","display_name":"habit formation","score":0.6830000281333923},{"id":"https://openalex.org/keywords/new-keynesian-model","display_name":"New Keynesian model","score":0.8790000081062317},{"id":"https://openalex.org/keywords/stock-market-reaction","display_name":"stock market reaction","score":0.5960000157356262},{"id":"https://openalex.org/keywords/business-cycles","display_name":"business cycles","score":0.42399999499320984}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.8206210136413574},{"id":"https://openalex.org/C10688316","wikidata":"https://www.wikidata.org/wiki/Q936174","display_name":"New Keynesian economics","level":3,"score":0.5817772150039673},{"id":"https://openalex.org/C126285488","wikidata":"https://www.wikidata.org/wiki/Q178476","display_name":"Monetary policy","level":2,"score":0.5769626498222351},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.5751543641090393},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5601375102996826},{"id":"https://openalex.org/C101161028","wikidata":"https://www.wikidata.org/wiki/Q129096","display_name":"Equity premium puzzle","level":3,"score":0.5451918244361877},{"id":"https://openalex.org/C129915516","wikidata":"https://www.wikidata.org/wiki/Q17083550","display_name":"Risk aversion (psychology)","level":3,"score":0.4839494526386261},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.4755822420120239},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4481000602245331},{"id":"https://openalex.org/C83873408","wikidata":"https://www.wikidata.org/wiki/Q192311","display_name":"Business cycle","level":2,"score":0.43538710474967957},{"id":"https://openalex.org/C2778333325","wikidata":"https://www.wikidata.org/wiki/Q2012704","display_name":"Federal funds","level":3,"score":0.42329341173171997},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.34886956214904785},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3185754418373108},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.24339193105697632},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.20101112127304077},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.11664947867393494},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3386/w27856","doi":"https://doi.org/10.3386/w27856","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w27856","pdf_url":"https://doi.org/10.3386/w27856","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"}],"best_oa_location":{"id":"doi:10.3386/w27856","doi":"https://doi.org/10.3386/w27856","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w27856","pdf_url":"https://doi.org/10.3386/w27856","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320309292","display_name":"Princeton University","ror":"https://ror.org/00hx57361"},{"id":"https://openalex.org/F4320320290","display_name":"University of Oxford","ror":"https://ror.org/052gg0110"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3088043368.pdf","grobid_xml":"https://content.openalex.org/works/W3088043368.grobid-xml"},"referenced_works_count":66,"referenced_works":["https://openalex.org/W1559183328","https://openalex.org/W1607317546","https://openalex.org/W1703197180","https://openalex.org/W1902874381","https://openalex.org/W1985130276","https://openalex.org/W2011224622","https://openalex.org/W2014077903","https://openalex.org/W2030775385","https://openalex.org/W2039146825","https://openalex.org/W2069498607","https://openalex.org/W2096136442","https://openalex.org/W2096778748","https://openalex.org/W2099268311","https://openalex.org/W2108103725","https://openalex.org/W2122270438","https://openalex.org/W2124791371","https://openalex.org/W2132448732","https://openalex.org/W2134854408","https://openalex.org/W2135814741","https://openalex.org/W2136209261","https://openalex.org/W2136235884","https://openalex.org/W2153001860","https://openalex.org/W2161963544","https://openalex.org/W2253894436","https://openalex.org/W2258819481","https://openalex.org/W2552431888","https://openalex.org/W2553269777","https://openalex.org/W2555097538","https://openalex.org/W2566240768","https://openalex.org/W2592117520","https://openalex.org/W2606818070","https://openalex.org/W2791959148","https://openalex.org/W2890649847","https://openalex.org/W2891159187","https://openalex.org/W2892290179","https://openalex.org/W2922085652","https://openalex.org/W3000629925","https://openalex.org/W3020842861","https://openalex.org/W3021740458","https://openalex.org/W3022637763","https://openalex.org/W3042784400","https://openalex.org/W3094419395","https://openalex.org/W3122038471","https://openalex.org/W3122122157","https://openalex.org/W3122991868","https://openalex.org/W3123115547","https://openalex.org/W3123846085","https://openalex.org/W3124072453","https://openalex.org/W3124082184","https://openalex.org/W3124177668","https://openalex.org/W3124201881","https://openalex.org/W3124494263","https://openalex.org/W3124496703","https://openalex.org/W3124724972","https://openalex.org/W3145478127","https://openalex.org/W4205202763","https://openalex.org/W4213454354","https://openalex.org/W4230025406","https://openalex.org/W4238761448","https://openalex.org/W4247765758","https://openalex.org/W4285723238","https://openalex.org/W4288863690","https://openalex.org/W6602055540","https://openalex.org/W6607600223","https://openalex.org/W6789321030","https://openalex.org/W6828820732"],"related_works":["https://openalex.org/W127000160","https://openalex.org/W1561906511","https://openalex.org/W3123961858","https://openalex.org/W4281386730","https://openalex.org/W7095170085","https://openalex.org/W7171737454","https://openalex.org/W2046557232","https://openalex.org/W7098114128","https://openalex.org/W2573944384","https://openalex.org/W4284990909"],"abstract_inverted_index":{"We":[0],"build":[1],"a":[2,6,51],"new":[3],"model":[4,10,76],"integrating":[5],"work-horse":[7],"New":[8],"Keynesian":[9],"with":[11,17,93],"investor":[12],"risk":[13,68],"aversion":[14,69],"that":[15,22,27],"moves":[16],"the":[18,23,29,39,49,55,72,78],"business":[19],"cycle.We":[20],"show":[21],"same":[24],"habit":[25],"preferences":[26],"explain":[28,38],"equity":[30],"volatility":[31],"puzzle":[32],"in":[33,54,74,83],"quarterly":[34],"data":[35],"also":[36],"naturally":[37],"large":[40],"highfrequency":[41],"stock":[42,87],"response":[43],"to":[44,64],"Federal":[45],"Funds":[46],"rate":[47,58],"surprises.In":[48],"model,":[50],"surprise":[52],"increase":[53],"short-term":[56],"interest":[57],"lowers":[59],"output":[60],"and":[61,70,86],"consumption":[62],"relative":[63],"habit,":[65],"thereby":[66],"raising":[67],"amplifying":[71],"fall":[73],"stocks.The":[75],"explains":[77],"positive":[79],"correlation":[80],"between":[81],"changes":[82],"breakeven":[84],"inflation":[85,95],"returns":[88],"around":[89],"monetary":[90],"policy":[91],"announcements":[92],"long-term":[94],"news.":[96]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":8},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":1}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2020-10-01T00:00:00"}