Fresh evidence on the effects of monetary and fiscal policy based on transaction data

Type
applied research project
Start Date
April 1, 2024
End Date
August 31, 2027
URI
Status
ongoing
Keywords
Transactional data
Monetary policy
Fiscal policy
Consumption
Option markets
VAT cut
Description
Recent economic crises have vividly demonstrated the significance of high-frequency, real-time, and disaggregated data. Compared to traditional macroeconomic resources and surveys, such data allow for well-informed economic policy making due to their superior timeliness, accuracy, and granularity. The project draws on two novel data sets offering high-frequency, real-time, and disaggregated transaction data. Based on these data, we aim to uncover new transmission mechanisms of monetary and fiscal policy and to provide estimates on the policy transmission, exploiting the granularity of the data to account for heterogeneity in the transmission.The project tackles the topic of economic policy transmission from different angles, thereby allowing us to provide new insights on (i) how monetary and fiscal policy shocks transmit to the cost of hedging; (ii) how unconventional fiscal policy, in terms of a temporary cut of the value added tax (VAT), affects consumption expenditures; and (iii) how monetary policy shocks affect consumption expenditure at a very granular level across time, expenditure items, and regions.The analyses shall help to understand better how monetary and fiscal policy measures can be designed to mitigate the negative consequences of recessions and crises for the real economy.
Leader contributor(s)
Koeniger, Winfried
Member contributor(s)
Luca Fiumana
Lehmann, Jonas
Funder

SNF – National Resear...

Topic(s)
Applied economics
Method(s)
Financial Econometrics
Range
Institute/School
Division(s)

SEPS - School of Econ...

SEW - Swiss Institute...

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