A0356
Title: High frequency financial network connectedness and monetary policy shocks
Authors: Petre Caraiani - Bucharest University of Economic Studies (Romania) [presenting]
Abstract: Monetary policy shocks are known to affect financial markets. However, how a monetary policy shock can affect their network structure is less clear. We estimate total daily connectedness and net connectedness for ten industry portfolio indices based on intraday data. Using event-based regressions, we show that total connectedness is positively influenced by surprise changes in interest rates. Net connectedness of some industry indices is also influenced, some in a positive, while others in a negative direction, revealing how monetary policy shocks propagate through the stock market network at a high-frequency level. The results point to the sectoral differences in the propagation of the monetary policy shocks.
