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Friday seminar - "Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach" - Sydney Ludvigson (New York University)

Sydney Ludvigson from New York University will present her research at SSE main building (Room 720) on Friday, May 12 at 10:30 CET.

"Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach"

Abstract: We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why markets react to central bank communications. We find that the reasons involve a mix of revisions in investor beliefs about the economic state and/or future regime change in the conduct of monetary policy, and subjective reassessments of financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on markets occurs outside of tight windows around policy announcements.

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Dept. of Finance Friday seminars