Monetary policy shocks have a large impact on stock returns in narrow windows around press releases by the Federal Reserve. We use spatial autoregressions to decompose the overall effect of monetary p
This paper examines how firms’ attention to the central bank influences the effectiveness of monetary policy via inflation expectations. Using text mining techniques, this paper builds a novel attenti
This paper disentangles fluctuations in disaggregated prices due to macroeconomic and sectoral conditions using a factor-augmented vector autoregression estimated on a large data set. On the basis of
This study investigates the effects of price-based (PMP) and quantity-based monetary policies (QMP) on systemic risks within China’s banking sector. We identify exogenous components of PMP and QMP by
