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- W3200465679 abstract "Using a structural vector autoregression, we document that a contractionary monetary policy shock triggers a decline in durable and non-durable outputs as well as a contraction in bank equity and a rise in the excess bond premium. The latter points to an important transmission channel of monetary policy via financial markets. It has long been recognized that a standard two-sector New Keynesian model, where durable goods prices are flexible and non-durable and services sticky, does not generate the empirically observed sectoral comovement across expenditure categories in response to a monetary policy shock. We show that introducing financial frictions in a two-sector New Keynesian model can resolve its disconnect with the empirical evidence: a monetary tightening generates not only comovement, but also a rise in credit spreads and a deterioration in bank equity." @default.
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- W3200465679 date "2021-01-01" @default.
- W3200465679 modified "2023-09-23" @default.
- W3200465679 title "Sectoral Comovement, Monetary Policy and the Credit Channel" @default.
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- W3200465679 doi "https://doi.org/10.2139/ssrn.3869023" @default.
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