Search results for "monetary policy shock"
showing 3 items of 3 documents
Regional effects of monetary policy in the U.S.: An empirical re-assessment
2020
Abstract This paper provides an empirical re-assessment of the regional effects of monetary policy in the U.S. We use the narrative series of Romer and Romer (2004) as a measure of monetary policy shocks and impulse response functions estimated directly from a single equation spatial model. We find that monetary policy tightening leads to a persistent decrease in regional real personal income and employment, with asymmetric effects across regions that are magnified by spatial spillovers. The magnitude of the effects depends on the period under analysis and on the direction of the monetary policy shock. We also provide evidence of the existence of the interest rate and the housing market cha…
The effects of monetary policy shocks on inequality
2018
Abstract This paper provides new evidence of the effect of conventional monetary policy shocks on income inequality. We construct a measure of unanticipated changes in policy rates—changes in short-term interest rates that are orthogonal to unexpected changes in growth and inflation news—for a panel of 32 advanced and emerging market countries over the period 1990–2013. Our main finding is that contractionary monetary policy shocks increase income inequality, on average. The effect is asymmetric—tightening of policy raises inequality more than easing lowers it—and depends on the state of the business cycle. We find some evidence that the effect increases with the share of labor income and i…
Asymmetric effects of monetary policy shocks across US states
2019
This paper provides new empirical evidence of the asymmetric effects of monetary policy shocks across regions. Using a measure of unanticipated changes in the Fed's policy rates over the period 1969Q3–2008Q4 and a local projection method extended to account for spatial effects, we find that monetary policy tightening leads to a long-lasting decrease in states' real personal income, with asymmetric effects across states that are amplified by spatial spillovers. The paper then investigates the role played by several transmission channels finding larger contractionary effects of monetary policy tightening in states with higher manufacturing share, smaller firms, smaller banks and higher house …