Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy*

We extend the econometric literature on role of production networks in propagation monetary policy shocks along two dimensions. First, we allow for time-varying industry-specific responses, reflecting non-linearities and heterogeneity direct transmission channels. Second, network structures dependence. This captures both variation structure differences cross-industry demand elasticities. Spillover effects among industries appear to be important periods elevated economic financial uncertainty, often coinciding with tight credit market conditions stress. Cross-sectional differentials can explained by how close are end-consumers.