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

Tools

Hauzenberger, Niko and Pfarrhofer, Michael (2021) Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy. Scandinavian Journal of Economics, 123 (4). pp. 1261-1291. ISSN 0347-0520 (https://doi.org/10.1111/sjoe.12436)

[thumbnail of Hauzenberger-Pfarrhofer-SJE-2021-Bayesian-state‐space-modeling-for-analyzing-heterogeneous-network-effects]
Preview
 Text. Filename: Hauzenberger_Pfarrhofer_SJE_2021_Bayesian_state_space_modeling_for_analyzing_heterogeneous_network_effects.pdf
Final Published Version
License: Creative Commons Attribution 4.0 logo
Download (1MB)| Preview

Abstract

We extend the econometric literature on the role of production networks in the propagation of monetary policy shocks along two dimensions. First, we allow for time-varying industry-specific responses, reflecting non-linearities and heterogeneity in direct transmission channels. Second, we allow for time-varying network structures and dependence. This captures both variation in the structure of the production network and differences in cross-industry demand elasticities. Spillover effects among industries appear to be important in periods of elevated economic and financial uncertainty, often coinciding with tight credit market conditions and financial stress. Cross-sectional differentials can be explained by how close industries are to end-consumers.

ORCID iDs

Hauzenberger, Niko ORCID logoORCID: https://orcid.org/0000-0002-2683-8421 and Pfarrhofer, Michael;
CORE (COnnecting REpositories)