W O R K I N G P A P E R S
Patents, News, and Business Cycles 💾
Under Revision at the Review of Economic Studies
Silvia Miranda-Agrippino, Sinem Hacioglu Hoke, and Kristina Bluwstein (2018) CEPR Discussion Paper n. 15062 (Previously: When Creativity Strikes: News Shocks and Business Cycles)
✏️ Revised August 2024
MEDIA 📰 Great Expectations: the economic power of news about the future
ABSTRACT We exploit information in patent applications to construct an instrumental variable for the identification of technology news shocks that relaxes all the identifying assumptions traditionally used in the literature. The instrument recovers news shocks that have no effect on aggregate productivity in the short-run, but are a significant driver of its trend component. The shock prompts a broad-based expansion in anticipation of the future in- crease in TFP, with output, consumption, and investment all rising well before any material increase in TFP is recorded. Despite the positive conditional comovements, the shock only accounts for a modest share of fluctuations of macroeconomic aggregates at business cycle frequencies. Financial markets price-in news shocks on impact, while most of the macro aggregates respond with some delay.
Global Footprints of Monetary Policies 💾
Silvia Miranda-Agrippino, Tsvetelina Nenova and Hélène Rey (2020), Centre for Macroeconomics, Discussion Paper n. 2020-04
✏️ First Draft January 2020
ABSTRACT We study the international transmission of the monetary policy of the two world’s giants: China and the US. From East to West, the channels of global transmission differ markedly. US monetary policy shocks affect the global economy primarily through their effects on integrated financial markets, global asset prices, and capital flows. EMEs in particular see both a reduction in inflows and a surge in outflows when the market tide turns as a result of a US monetary contraction. Conversely, international trade, commodity prices and global value chains are the main channels through which Chinese monetary policy transmits worldwide. AEs with a strong manufacturing sector are particularly sensitive to these disturbances.
Unsurprising Shocks: Information, Premia, and the Monetary Transmission 💾
Silvia Miranda-Agrippino (2016) Bank of England, Working Paper n. 626
✏️ Revised August 2017
MEDIA 📰 The surprise in monetary surprises: a Tale of Two Shocks (Bank Underground Blog) 📰 Wall Street Journal Pro Central Banking
ABSTRACT This article studies the information content of monetary surprises, i.e. the reactions of financial markets to monetary policy announcements. We find that monetary surprises are predictable by past information, and can incorporate anticipatory effects. Surprises are decomposed into monetary policy shocks, forecast updates, and time-varying risk premia, all of which can change following the announcements. Hence, their use as identification devices is not warranted, and can have strong qualitative and quantitative implications for the estimated responses of variables to the shocks. We develop new measures for monetary policy shocks, independent of central banks’ forecasts and unpredictable by past information.
Nowcasting China
Domenico Giannone, Silvia Miranda-Agrippino and Michele Modugno, 2013
MEDIA 🎥 Interview at CIRANO Montréal
ABSTRACT In this paper we construct a synthetic indicator to monitor and summarise the informational content of the Chinese macroeconomic data flow. The index is optimally extracted in real-time from a heterogeneous set of dat, published at different frequencies and in a non-synchronous fashion, that we select to best represent the Chinese economy. We evaluate the forecasting ability of the index in nowcasting Chinese real GDP in real time. We find that the forecast implied by our index are at least as accurate as market forecasts and outperform forecasts implied by other existing indices. Furthermore, our index-based forecasts are continuously updated and thus timelier than forecasts implied by other existing indices or produced by international institutions, including the IMF and the OECD.