Replication data for: Monetary Policy Surprises, Credit Costs, and Economic Activity

Principal Investigator(s):  View help for Principal Investigator(s) Mark Gertler; Peter Karadi

Version:  View help for Version V1

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  ReprFiles_GK_2013-0329 10/12/2019 07:30:PM
LICENSE.txt text/plain 14.6 KB 10/12/2019 03:30:PM

Project Citation: 

Gertler, Mark, and Karadi, Peter. Replication data for: Monetary Policy Surprises, Credit Costs, and Economic Activity. Nashville, TN: American Economic Association [publisher], 2015. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114082V1

Project Description

Summary:  View help for Summary We provide evidence on the transmission of monetary policy shocks in a setting with both economic and financial variables. We first show that shocks identified using high frequency surprises around policy announcements as external instruments produce responses in output and inflation that are typical in monetary VAR analysis. We also find, however, that the resulting "modest" movements in short rates lead to "large" movements in credit costs, which are due mainly to the reaction of both term premia and credit spreads. Finally, we show that forward guidance is important to the overall strength of policy transmission. (JEL E31, E32, E43, E44, E52, G01)

Scope of Project

JEL Classification:  View help for JEL Classification
      E31 Price Level; Inflation; Deflation
      E32 Business Fluctuations; Cycles
      E43 Interest Rates: Determination, Term Structure, and Effects
      E44 Financial Markets and the Macroeconomy
      E52 Monetary Policy
      G01 Financial Crises


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V1 [2019-10-12]

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