Martin Feldkircher, Florian Huber, Michael Pfarrhofer
arXiv 30 Jul 2020 · Econometrics · publishedScottish Journal of Political Economy (2021) · 2 citations (OpenAlex)
arXiv:2007.15419 · PDF · DOI · OpenAlex · Extracted main text
The COVID-19 recession that started in March 2020 led to an unprecedented decline in economic activity across the globe. To fight this recession, policy makers in central banks engaged in expansionary monetary policy. This paper asks whether the measures adopted by the US Federal Reserve (Fed) have been effective in boosting real activity and calming financial markets. To measure these effects at high frequencies, we propose a novel mixed frequency vector autoregressive (MF-VAR) model. This model allows us to combine weekly and monthly information within an unified framework. Our model combines a set of macroeconomic aggregates such as industrial production, unemployment rates and inflation with high frequency information from financial markets such as stock prices, interest rate spreads and weekly information on the Feds balance sheet size. The latter set of high frequency time series is used to dynamically interpolate the monthly time series to obtain weekly macroeconomic measures. We use this setup to simulate counterfactuals in absence of monetary stimulus. The results show that the monetary expansion caused higher output growth and stock market returns, more favorable long-term financing conditions and a depreciation of the US dollar compared to a no-policy benchmark scenario.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Schorfheide F, and Song D (2015) Real-time forecasting with a mixed-frequency VAR | 0.644 | 4 | 1 | 100% |
| 2 | Arslan Y, Drehmann M, and Hofmann B (2020) Central bank bond purchases in emerging market economies, Technical Report 20, BIS Bulletin | 0.405 | 1 | 1 | 100% |
| 3 | Baker S, Bloom N, Davis S, Kost K, Sammon M, and Viratyosin T (2020) The unprecedented stock market impact of COVID-19, Technical Report 26945, NBER working paper series | 0.405 | 1 | 1 | 100% |
| 4 | Cajner T, Crane L, Decker RA, Grigsby J, Hamins-Puertolas A, Hurst E… (2020) The U.S | 0.405 | 1 | 1 | 100% |
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| 6 | Hartley J, and Rebucci A (2020) An event study of COVID-19 central bank quantitative easing in advanced and emerging economies, Technical Report 27339, NBER wor… | 0.405 | 1 | 1 | 100% |
| 7 | Kurmann A, Lale E, and Ta L (2020) The Impact of COVID-19 on U.S | 0.405 | 1 | 1 | 100% |
| 8 | McKibbin W, and Fernando R (2020) The Global Macroeconomic Impacts of COVID-19: Seven Scenarios, Technical Report 19/2020, CAMA working paper series | 0.405 | 1 | 1 | 100% |
| 9 | Schrimpf A, Shin H, and Sushko V (2020) Leverage and margin spirals in fixed income markets during the Covid-19 crisis, Technical Report 2, BIS Bulletin | 0.405 | 1 | 1 | 100% |
| 10 | Ankargren S, and Yang Y (2019) Mixed-Frequency Bayesian VAR Models in R: the mfbvar package | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 14 scored citations.