The response of asset prices to monetary policy shocks: Stronger than thought
使用高频工具识别货币政策冲击，发现大规模动态因子模型比传统小规模VAR模型更能捕捉到资产价格更快更强的反应，说明纳入足够信息对估计货币政策效果至关重要。
Summary Standard macroeconomic theory predicts rapid responses of asset prices to monetary policy shocks. Small‐scale vector autoregressions (VARs), however, often find sluggish and insignificant impact effects. Using the same high‐frequency instrument to identify monetary policy shocks, we show that a large‐scale dynamic factor model finds overall stronger and quicker asset price reactions compared to a benchmark VAR, both on euro area and US data. Our results suggest that incorporating a sufficiently large information set is crucial to estimate monetary policy effects.