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The local effects of monetary policy

  • Neville Francis
  • Michael T. Owyang
  • Tatevik Sekhposyan

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.

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Paper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 2009-048.

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Date of creation: 2009
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Handle: RePEc:fip:fedlwp:2009-048
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