| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17432 |
| DP17432 Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach | |
| Francesco Bianchi; Sydney Ludvigson; Sai Ma | |
| 发表日期 | 2022-07-03 |
| 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 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | beliefs monetary policy News Asset pricing |
| URL | https://cepr.org/publications/dp17432-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546516 |
| 推荐引用方式 GB/T 7714 | Francesco Bianchi,Sydney Ludvigson,Sai Ma. DP17432 Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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