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Monetary Tightening, Inflation Drivers and Financial Stress
The paper explores the state-dependent effects of a monetary tightening on financial stress, focusing on a novel dimension: the nature of supply versus demand inflation at the time of policy rate hikes. We use local projections to estimate the effect of high frequency identified monetary policy surprises on a variety of financial stress measures, differentiating the effects based on whether inflation is supply-driven (e.g. due to adverse supply or cost-push shocks) or demand-driven (e.g. due to positive demand factors). We find that financial stress flares up after a policy rate hike when inflation is supply-driven, but it remains roughly unchanged, or even declines when inflation is demand-driven. Our findings point to a particular tension between price stability and financial stability when inflation is high and largely supply-driven.
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