The Time-Varying Effect of Monetary Policy on Asset Prices

• 成果类型: Article
• 署名作者: Paul, Pascal
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00840
• 发表日期: 2020-10
• 页码: 690-704
• 关键词: federal-reserve; INFORMATION; identification; autoregressions; surprises; MARKETS

摘要

This paper studies how monetary policy jointly affects asset prices and the real economy in the United States. I develop an estimator that uses high-frequency surprises as a proxy for the structural monetary policy shocks. This is achieved by integrating the surprises into a vector autoregressive model as an exogenous variable. I use current short-term rate surprises because these are least affected by an information effect. When allowing for time-varying model parameters, I find that compared to the response of output, the reaction of stock and house prices to monetary policy shocks was particularly low before the 2007-2009 financial crisis.