期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：Mainstream macroeconomic theory predicts a rapid response of asset pricesto monetary policy shocks, which conventional empirical models are unable toreproduce. We argue that this is due to a deficient information set: Forward-lookingeconomic agents observe vastly more information than the handful of variablesincluded in standard VAR models. Thus, small-scale VARs are likely to sufferfrom nonfundamentalness and yield biased results. We tackle this problem byestimating a Structural Factor Model for a large euro area dataset. We find quickerand larger effects of monetary policy shocks, consistent with mainstream theoryand the observed large swings in asset prices. Our results point to stronger financialstability consequences of an exogenous monetary policy tightening, also in theform of a quicker than expected unwinding of QE, than commonly thought
