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International Comovement in the Global Production Network
Huo, Zhen - 2019
comovement. We first derive an additive decomposition of bilateral GDP comovement into components capturing shock transmission … and shock correlation. We quantify this decomposition in a parsimonious multi-country, sector and factor network … propagation model featuring a single composite supply shock, with data for 29 countries and up to 30 years. We find that the …
Persistent link: https://www.econbiz.de/10012479927
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Monetary Policy through Production Networks : Evidence from the Stock Market
Ozdagli, Ali - 2017
Monetary policy shocks have a large impact on stock returns in narrow windows around press releases by the Federal Reserve. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and an indirect (network) effect. We attribute 50%-85% of the...
Persistent link: https://www.econbiz.de/10012455257
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U.S. Monetary Policy and International Risk Spillovers
Kalemli-Özcan, Ṣebnem - 2019
I show that monetary policy divergence vis-a-vis the U.S. has larger spillover effects in emerging markets than advanced economies. The monetary policy of the U.S. affects domestic credit costs in other countries through its effect on global investors' risk perceptions. Capital flows in and out...
Persistent link: https://www.econbiz.de/10012480242
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Stock Market Spillovers via the Global Production Network : Transmission of U.S. Monetary Policy
Di Giovanni, Julian; Hale, Galina - National Bureau of Economic Research - 2021
We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks to stock returns across countries and sectors using a newly constructed dataset. Our estimation strategy is based on a standard open-economy production network model that delivers a...
Persistent link: https://www.econbiz.de/10012533376
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Innovation and Production in the Global Economy
Arkolakis, Costas - 2013
of China into the world economy may hurt countries that are driven to specialize in production due to HMEs, although …
Persistent link: https://www.econbiz.de/10012459690
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Pandemic-Era Inflation Drivers and Global Spillovers
Di Giovanni, Julian; Kalemli-Ozcan, Sebnem; Silva, Álvaro - National Bureau of Economic Research - 2023
-2022. Third, the reallocation of consumption between goods and service sectors, a relative sector-level demand shock, played a …
Persistent link: https://www.econbiz.de/10014437018
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Are the Effects of Monetary Policy Shocks Big or Small?
Coibion, Olivier - 2011
are consistent across approaches and most likely medium. Alternative monetary policy shock measures from estimated Taylor …
Persistent link: https://www.econbiz.de/10012461625
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Common Shocks in Stocks and Bonds
Cieslak, Anna - 2020
We propose an approach to identifying economic shocks (monetary, growth, and risk-premium news) from stock returns and Treasury yield changes, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identification to examine investors'...
Persistent link: https://www.econbiz.de/10012482403
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Turnover Liquidity and the Transmission of Monetary Policy
Lagos, Ricardo - 2018
We provide empirical evidence of a novel liquidity-based transmission mechanism through which monetary policy influences asset markets, develop a model of this mechanism, and assess the ability of the quantitative theory to match the evidence
Persistent link: https://www.econbiz.de/10012480757
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On the Effects of Monetary Policy Shocks on Income and Consumption Heterogeneity
Chang, Minsu; Schorfheide, Frank - National Bureau of Economic Research - 2024
). We find that a conventional expansionary monetary policy shock reduces earnings inequality, in large part by lifting …
Persistent link: https://www.econbiz.de/10014486257