Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy

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Tác giả: Niko Hauzenberger, Michael Pfarrhofer

Ngôn ngữ: eng

Ký hiệu phân loại: 332.46 Monetary policy

Thông tin xuất bản: 2019

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 163599

 Comment: JEL: C11, C23, C32, C58, E52
  Keywords: production networks, monetary policy shocks, high-frequency identification, spatio-temporal modelingUnderstanding disaggregate channels in the transmission of monetary policy is of crucial importance for effectively implementing policy measures. We extend the empirical econometric literature on the role of production networks in the propagation of shocks along two dimensions. First, we allow for industry-specific responses that vary over time, reflecting non-linearities and cross-sectional heterogeneities in direct transmission channels. Second, we allow for time-varying network structures and dependence. This feature captures both variation in the structure of the production network, but also differences in cross-industry demand elasticities. We find that impacts vary substantially over time and the cross-section. Higher-order effects appear to be particularly important in periods of economic and financial uncertainty, often coinciding with tight credit market conditions and financial stress. Differentials in industry-specific responses can be explained by how close the respective industries are to end-consumers.
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