Spillover Effects Between the Stock Market and the Real Economy in a Mixed-Frequency Agent-Based Macrofinancial Model

Kotb Naira (), Brenneisen Jan-Niklas, Matthias Lengnick, Proaño Christian R. and Hans-Werner Wohltmann
Additional contact information
Kotb Naira: Otto-Friedrich-Universität Bamberg, Bamberg, Germany
Brenneisen Jan-Niklas: Christian-Albrechts-Universität zu Kiel, Kiel, Germany
Proaño Christian R.: Otto-Friedrich-Universität Bamberg, Bamberg, Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2024, vol. 244, issue 4, 331-350

Abstract: This paper illustrates a behavioral mixed frequency macro-finance model where both real and financial variables are generated on a daily basis. Further, while financial sector data is collected at the same frequency as it is generated (i.e. daily), real data can only be collected on a quarterly basis. Under these circumstances, output and inflation, upon which data is available with a significant delay, become unsuitable as the sole information guide for monetary policy. We suggest that policy makers can deal with this information problem by reacting to the variable on which data is collected on high frequency basis: the stock price.

Keywords: new Keynesian model; mixed-frequency macroeconomics; behavioral macroeconomics; optimal monetary policy; macro-finance interaction; heuristic switching (search for similar items in EconPapers)
JEL-codes: E44 E52 G01 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/jbnst-2024-0017 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:244:y:2024:i:4:p:331-350:n:1005

DOI: 10.1515/jbnst-2024-0017

Access Statistics for this article

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) is currently edited by Peter Winker

More articles in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) from De Gruyter
Bibliographic data for series maintained by Peter Golla ().