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

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

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code			10/12/2019 07:30:PM
data			10/12/2019 07:30:PM
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Project Description

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:
      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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Published Versions

V1 [2019-10-12]

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