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Small and Large Price Changes and the Propagation of Monetary Shocks
Alvarez, Fernando - 2014
We document the presence of both small and large price changes in individual price records from the CPI in France and the US. After correcting for measurement error and cross-section heterogeneity, the size-distribution of price changes has a positive excess kurtosis. We propose an analytical...
Persistent link: https://www.econbiz.de/10012458509
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Discount Factors and Monetary Policy : Evidence from Dual-Listed Stocks
Vandeweyer, Quentin; Yang, Minghao; Yannelis, Constantine - National Bureau of Economic Research - 2024
This paper studies the transmission of monetary policy to the stock market through investors' discount factors. To isolate this channel, we investigate the effect of US monetary policy surprises on the ratio of prices of the same stock listed simultaneously in Hong Kong and Mainland China, and...
Persistent link: https://www.econbiz.de/10014544777
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Monetary Policy Wedges and the Long-term Liabilities of Households and Firms
Binsbergen, Jules H. van; Grotteria, Marco - National Bureau of Economic Research - 2024
We examine the transmission of monetary policy shocks to the long-duration liabilities of households and firms using high-frequency variation in 10-year swap rates around FOMC announcements. We find that four weeks after the announcement mortgage rates move one-for-one with 10-year swap rates,...
Persistent link: https://www.econbiz.de/10014486229
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How Do Supply Shocks to Inflation Generalize? Evidence from the Pandemic Era in Europe
Acharya, Viral V.; Crosignani, Matteo; Eisert, Tim; … - National Bureau of Economic Research - 2023
We document how supply-chain pressures, household inflation expectations, and firm pricing power interacted to induce the pandemic-era surge in consumer price inflation in the euro area. Initially, supply-chain pressures increased inflation through a cost-push channel and raised inflation...
Persistent link: https://www.econbiz.de/10014421216
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Does Monetary Policy Matter? The Narrative Approach after 35 Years
Romer, Christina; Romer, David - National Bureau of Economic Research - 2023
inflation in the expected directions. Analysis of available policy records suggests that a contractionary monetary shock likely …
Persistent link: https://www.econbiz.de/10014250187
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Inflation Past, Present and Future : Fiscal Shocks, Fed Response, and Fiscal Limits
Cochrane, John H. - National Bureau of Economic Research - 2022
Our current inflation stemmed from a fiscal shock. The Fed is slow to react. Why? Will the Fed's slow reaction spur … high real interest rates. Price stickiness means inflation will persist past an initial shock. To reduce inflation, fiscal …
Persistent link: https://www.econbiz.de/10013210124
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Identifying Monetary Policy Shocks : A Natural Language Approach
Aruoba, S. Borağan; Drechsel, Thomas - National Bureau of Economic Research - 2024
constructed by only controlling for the staff forecasts imply responses of macro variables at odds with theory. We directly link …
Persistent link: https://www.econbiz.de/10014544696
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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …
Persistent link: https://www.econbiz.de/10014576665
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Endogenous Money or Sticky Prices?
Ireland, Peter N. - 2002
What explains the correlations between nominal and real variables in the postwar US data? Are these correlations indicative of significant nominal price rigidity? Or do they simply reflect the particular way that monetary policymakers react to developments in the real economy? To answer these...
Persistent link: https://www.econbiz.de/10012469313
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What Has Financed Government Debt?
Chung, Hess - 2007
-fiscal shocks. The role of expected primary surpluses in supporting innovations to debt depends on the nature of the shock. For some …
Persistent link: https://www.econbiz.de/10012465224