Macro Seminar - Francesco Bianchi, John Hopkins University


Location: 3060F Jenkins Nanovic Halls (View on map )

Interested parties are welcome to attend.

Presentation Title: Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach


We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why markets react to central bank communications. We find that the reasons involve a mix of revisions in investor beliefs about the economic state and/or future regime change in the conduct of monetary policy and subjective reassessments of financial market risk. However, the structural estimation also and that much of the causal impact of monetary policy on markets occurs outside of tight windows around policy announcements.
policy announcements.


Contact Nelson Mark for information.