| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9824 |
| 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 |
| URL | https://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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