| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30072 |
| 来源ID | Working Paper 30072 |
| Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach | |
| Francesco Bianchi; Sydney C. Ludvigson; Sai Ma | |
| 发表日期 | 2022-05-23 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why markets react to central bank communications. We find that the reasons involve a mix of revisions in investor beliefs about the economic state and/or future regime change in the conduct of monetary policy, and subjective reassessments of financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on markets occurs outside of tight windows around policy announcements. |
| 主题 | Macroeconomics ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w30072 |
| 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/587746 |
| 推荐引用方式 GB/T 7714 | Francesco Bianchi,Sydney C. Ludvigson,Sai Ma. Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w30072.pdf（1029KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
