G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9824
DP9824 Monetary Policy Surprises, Credit Costs and Economic Activity
Mark Gertler; Peter Karadi
发表日期2014-02-09
出版年2014
语种英语
摘要We provide evidence on the nature of the monetary policy transmission mechanism. To identify policy shocks in a setting with both economic and financial variables, we combine traditional monetary vector autoregression (VAR) analysis with high frequency identification (HFI) of monetary policy shocks. We first show that the shocks identified using HFI surprises as external instruments produce responses in output and inflation consistent with those obtained in the standard monetary VAR analysis. We also find, however, that monetary policy responses typically produce ?modest? movements in short rates that lead to ?large? movements in credit costs and economic activity. The large movements in credit costs are mainly due to the reaction of both term premia and credit spreads that are typically absent from the baseline model of monetary transmission. Finally, we show that forward guidance is important to the overall strength of policy transmission.
主题International Macroeconomics
关键词Credit spread External instrument Forward guidance High-frequency identification Monetary policy transmission Structural var Term premium
URLhttps://cepr.org/publications/dp9824
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/538660
推荐引用方式
GB/T 7714
Mark Gertler,Peter Karadi. DP9824 Monetary Policy Surprises, Credit Costs and Economic Activity. 2014.
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