Monetary policy and production networks: an empirical investigation *

• 成果类型: Article
• 署名作者: Ghassibe, Mishel
• 署名单位: University of Oxford
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.02.002
• 发表日期: 2021
• 页码: 21-39
• 关键词: production networks; monetary policy shocks

摘要

This paper offers novel econometric evidence on the contribution of production networks to the effect of monetary shocks on real macroeconomic variables. In particular, we construct a highly disaggregated monthly dataset on US final sectoral consumption to estimate that at least 30% of the effect of monetary shocks on aggregate consumption comes from amplification through input-output linkages, which facilitate downstream propagation of price rigidity. At the sectoral level, we find that the network effect rises in the frequency of price non-adjustment and intermediates intensity. Moreover, the network effect is highly concentrated: sectors that jointly account for 17% of our sample aggregate consumption account for 98% of the amplification. In order to develop our econometric specification, we obtain novel analytical sector-level solutions to a forward-looking New Keynesian model with asymmetric input-output linkages. (c) 2021 Elsevier B.V. All rights reserved.