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SUMMARY:Network Effects of Monetary Policy: Evidence from Global Value Cha
 ins
DTSTART:20181127T120000
DTEND:20181127T130000
DTSTAMP:20260921T014022Z
UID:4c2a3537417b6ec544549032c560a336baa3dd6c0e369e1bc21020d7
CATEGORIES:Conferences - Seminars
DESCRIPTION:Zornitsa TODOROVA\, PhD candidate\, Bocconi University\n\nThis
  paper investigates whether monetary policy shocks propagate through produ
 ction networks in the Euro-area. The network is constructed using a compre
 hensive time-series of input-output linkages between European industries a
 cross 11 countries and the stock market reaction is exploited as a laborat
 ory. High-frequency interest rate data is used to identify monetary policy
  shocks along two dimensions: one related to the current level of short-te
 rm rates (target) and a second related to expectations about the future pa
 th of monetary policy (path). First\, using an event-study approach around
  ECB Monetary Policy Announcement dates and novel tools from spatial econo
 metrics\, this is the first paper to show that between 40% and 50% of the 
 overall European stock market reaction is due to higher-order network effe
 cts. Second\, the paper investigates the link between the network structur
 e and the transmission of monetary policy. Industries located in the perip
 hery of the production network react the most to policy shocks\, whereas c
 entral industries are most influential and serve as an amplification mecha
 nism for the propagation of shocks. Finally\, the paper considers the effe
 ct of network connections outside of the Euro-area and finds that the resp
 onse to monetary policy shocks is considerably mitigated for industries lo
 cated centrally in the global production network.\n 
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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