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Monetary policy transmission amid demand reallocations

Bengui, Julien; Han, Lu; MacKenzie, Gaelan - 2024 - Last updated: October 25, 2024

Large swings in the expenditure shares of goods and services at the start of the pandemic have contributed to the inflation surge, posing new challenges for monetary policy. Using a multi-sector model featuring upward labor adjustment frictions, we analyze the transmission of monetary policy...

Persistent link: https://www.econbiz.de/10015099080

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2017

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...

Persistent link: https://www.econbiz.de/10012953959

Monetary Policy through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2017

We study the importance of production networks for the transmission of macroeconomic shocks using the stock market reaction to monetary policy shocks as a laboratory. We decompose the overall effect of monetary policy shocks into a direct effect and a network effect and attribute 50 to 85...

Persistent link: https://www.econbiz.de/10012956564

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2019

Persistent link: https://www.econbiz.de/10012903810

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2020

Persistent link: https://www.econbiz.de/10012853432

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2018

Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...

Persistent link: https://www.econbiz.de/10012931110

Volatility in Equity Markets and Monetary Policy Rate Uncertainty

Kaminska, Iryna - 2018

link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …

Persistent link: https://www.econbiz.de/10012925787

Monetary Policy, Endogenous Inattention, and the Volatility Trade-Off

Branch, William; Carlson, John B.; Evans, George W.; … - 2007

This paper addresses the output-price volatility puzzle by studying the interaction of optimal monetary policy and … processing rate. Although a decline of policy activism directly increases output volatility, it indirectly anchors expectations …, which decreases output volatility. If the indirect effect dominates then the usual trade-off between output and price …

Persistent link: https://www.econbiz.de/10014223070

Soft landing and inflation scares

Bullard, James B.; Grimaud, Alex; Salle, Isabelle; … - 2025

We discuss the timing and strength of the Fed's reaction to the recent inflation surge within an estimated macroeconomic model where long-run inflation expectations are heterogeneous and can lose their anchoring to the target. The resulting inflation scare worsens the real cost of disinflation....

Persistent link: https://www.econbiz.de/10015191492