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Naira Kotb
;
Jan-Niklas Brenneisen
;
Matthias Lengnick
;
Christian Proaño
;
Hans-Werner Wohltmann

spillover effects between the stock market and the real economy (replication data)

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.

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Kotb, Naira; Brenneisen, Jan-Niklas; Lengnick, Matthias; Proaño, Christian; Wohltmann, Hans-Werner (2024): Spillover Effects between the Stock Market and the Real Economy (Replication Data). Version: 1. Journal of Economics and Statistics. Dataset. http://dx.doi.org/10.15456/jbnst.2024298.0720549899

Related Publication

Kotb, N., Brenneisen, J., Lengnick, M., Proaño, C., Wohltmann, H. (2024). Spillover Effects Between the Stock Market and the Real Economy in a Mixed-Frequency Agent-Based Macrofinancial Model. Jahrbücher für Nationalökonomie und Statistik, 244(4). doi: 10.1515/jbnst-2024-0017

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