The Time-Varying Effect of Monetary Policy on Asset Prices
研究美国货币政策如何同时影响资产价格和实体经济，发现2007-2009年金融危机前，股票和房价对货币政策冲击的反应相比产出特别低。
This paper studies how monetary policy jointly affects asset prices and the real economy in the United States. I develop an estimator that uses high-frequency surprises as a proxy for the structural monetary policy shocks. This is achieved by integrating the surprises into a vector autoregressive model as an exogenous variable. I use current short-term rate surprises because these are least affected by an information effect. When allowing for time-varying model parameters, I find that compared to the response of output, the reaction of stock and house prices to monetary policy shocks was particularly low before the 2007–2009 financial crisis.