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Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Working Papers No. 17-15
Verlag: 
Federal Reserve Bank of Boston, Boston, MA
Zusammenfassung: 
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 the overall impact to network effects. The decomposition is a robust feature of the data, and we confirm large network effects in realized cash-flow fundamentals. A simple model with intermediate inputs allows a structural interpretation of our empirical strategy. Our findings indicate that production networks might be an important mechanism for transmitting monetary policy to the real economy.
Schlagwörter: 
input-output linkages
spillover effects
asset prices
high frequency identification
JEL: 
E12
E31
E44
E52
G12
G14
Dokumentart: 
Working Paper

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