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

Niko Hauzenberger*, Michael Pfarrhofer

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
JournalScandinavian Journal of Economics
DOIs
Publication statusPublished - 15 Apr 2021

Bibliographical note

JEL: C23, C32, O47, R11; Keywords: production networks, monetary policy shocks, high-frequency identification, spatio-temporal modeling

Fields of Science and Technology Classification 2012

  • 502 Economics

Keywords

  • econ.EM
  • econ.GN
  • q-fin.EC

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