The local effects of monetary policy

Neville Francis, Michael T. Owyang () and Tatevik Sekhposyan

No 2009-048, Working Papers from Federal Reserve Bank of St. Louis

Abstract: Previous studies have documented disparities in the regional responses to monetary policy shocks; this variation has been found to depend, in part, on differences in the industrial composition of the regional economies. However, because of computational issues, the literature has often neglected the richest level of disaggregation: the city. In this paper, we estimate the city-level responses to monetary policy shocks in a Bayesian VAR. The Bayesian VAR allows us to model the entire panel of metropolitan areas through the imposition of a shrinkage prior. We then seek the origin of the city-level asymmetric responses.

Keywords: Vector autoregression; Econometric models (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-geo and nep-mon
Date: 2009

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