Northwestern Events Calendar


Seminar in Macroeconomics

When: Monday, May 22, 2023
12:00 PM - 1:30 PM Central

Where: Kellogg Global Hub, 1410, 2211 Campus Drive, Evanston, IL 60208 map it

Audience: Faculty/Staff - Student - Post Docs/Docs - Graduate Students

Contact: Kayla Johnson  

Group: Department of Economics: Seminar in Macroeconomics

Category: Academic


Francesco Bianchi (JHU): "Monetary-Based Asset Pricing: A Mixed-Frequency Structural
Approach" with Sydney Ludvigson and Sai Ma

Abstract: 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 finds that much of the causal impact of monetary policy on markets occurs outside of tight windows around policy announcements.

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