Scale-Dependent Monetary Transmission with a Recovered Dependence Operator: A Heterogeneous-Agent Model with an Identification Boundary

How do interest rate changes reach households, and does the hidden web of dependence across markets matter? This paper builds a two-asset macroeconomic model in which that dependence is not assumed but recovered from data, and it is careful to use only what the data can actually support. The strength of market comovement is measurable and rises sharply in the 2008 crisis and the pandemic while staying calm in normal times, with little reaction to routine policy moves. The direction of influence, who moves whom, cannot be pinned down and is used only as a regime signal, never as a causal channel. Getting the dependence wrong carries a welfare cost. The findings are coincident readings of stress, not forecasts.