| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20224 |
| 来源ID | Working Paper 20224 |
| Monetary Policy Surprises, Credit Costs and Economic Activity | |
| Mark Gertler; Peter Karadi | |
| 发表日期 | 2014-06-12 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We provide evidence on the nature of the monetary 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 both textbook theory and conventional monetary VAR analysis. We also find, however, that monetary policy surprises 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 standard model of monetary policy transmission. Finally, we show that forward guidance is important to the overall strength of the transmission mechanism. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy |
| URL | https://www.nber.org/papers/w20224 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577897 |
| 推荐引用方式 GB/T 7714 | Mark Gertler,Peter Karadi. Monetary Policy Surprises, Credit Costs and Economic Activity. 2014. |
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