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

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Listed:
  • Kotb Naira

    (Otto-Friedrich-Universität Bamberg, Bamberg, Germany)

  • Brenneisen Jan-Niklas

    (Christian-Albrechts-Universität zu Kiel, Kiel, Germany)

  • Lengnick Matthias

    (Christian-Albrechts-Universität zu Kiel, Kiel, Germany)

  • Proaño Christian R.

    (Otto-Friedrich-Universität Bamberg, Bamberg, Germany)

  • Wohltmann Hans-Werner

    (Christian-Albrechts-Universität zu Kiel, Kiel, Germany)

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.

Suggested Citation

  • Kotb Naira & Brenneisen Jan-Niklas & Lengnick Matthias & Proaño Christian R. & Wohltmann Hans-Werner, 2024. "Spillover Effects Between the Stock Market and the Real Economy in a Mixed-Frequency Agent-Based Macrofinancial Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 244(4), pages 331-350.
    • Handle: RePEc:jns:jbstat:v:244:y:2024:i:4:p:331-350:n:1005
    DOI: 10.1515/jbnst-2024-0017
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    References listed on IDEAS

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    More about this item

    Keywords

    new Keynesian model; mixed-frequency macroeconomics; behavioral macroeconomics; optimal monetary policy; macro-finance interaction; heuristic switching;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G01 - Financial Economics - - General - - - Financial Crises

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