Monetary Policy through Production Networks: Evidence from the Stock Market

• 成果类型: Article
• 署名作者: Ozdagli, Ali; Weber, Michael
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Dallas; Purdue University System; Purdue University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf106
• 发表日期: 2026-05
• 页码: 1411-1462
• 关键词: E12; E31; E44; E52; G12; G14; shocks; origins; linkages; prices; IMPACT

摘要

We study the importance of production networks for the transmission of monetary policy using the stock market reaction as laboratory. We attribute 55% to 85% of the overall response to network effects. Large network effects are a robust feature of the data; we document similar patterns in realized fundamentals. Matching sparsity and the first two outdegrees industry-by-industry can explain large network effects. A simple model with intermediate inputs predicts the reaction of stock returns follows a spatial autoregression, which we exploit for our empirical strategy. Our results suggest production networks are an important mechanism for transmitting monetary policy shocks.