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Spillover Effects between the Stock Market and the Real Economy in a Mixed-Frequency Agent-Based Macrofinancial Model
Kotb, Naira; Brenneisen, Jan-Niklas; Lengnick, Matthias; u. a. (2024): Spillover Effects between the Stock Market and the Real Economy in a Mixed-Frequency Agent-Based Macrofinancial Model, in: Jahrbücher für Nationalökonomie und Statistik = Journal of economics and statistics, Berlin: De Gruyter Oldenbourg, Jg. 244, Nr. 4, S. 331–350, doi: 10.1515/jbnst-2024-0017.
By:
... ; Proaño, Christian R.; ...
Title of the Journal:
Jahrbücher für Nationalökonomie und Statistik = Journal of economics and statistics
ISSN:
2366-049X
0021-4027
Publisher Information:
Year of publication:
2024
Volume:
244
Issue:
4
Pages:
Language:
English
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
Type:
Article
Activation date:
April 17, 2025
Versioning
Question on publication
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https://fis.uni-bamberg.de/handle/uniba/107646