全球智库信息集成服务系统(G2TT): Monetary Policy through Production Networks: Evidence from the Stock Market

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w23424
来源ID	Working Paper 23424
	Monetary Policy through Production Networks: Evidence from the Stock Market
	Ali Ozdagli; Michael Weber
发表日期	2017-05-22
出版年	2017
语种	英语
摘要	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 overall effect to indirect effects. The decomposition is a robust feature of the data and we confirm large indirect effects in realized cash-flow fundamentals. A simple model with intermediate inputs guides our empirical strategy. Our findings indicate that production networks might be an important propagation mechanism of monetary policy to the real economy.
主题	Macroeconomics ; Macroeconomic Models ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w23424
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/581098
推荐引用方式 GB/T 7714	Ali Ozdagli,Michael Weber. Monetary Policy through Production Networks: Evidence from the Stock Market. 2017.