Replication data for: Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs

Principal Investigator(s): View help for Principal Investigator(s) Dario Caldara; Edward Herbst

Name	File Type	Size	Last Modified
data			10/12/2019 08:26:PM
matlab			10/12/2019 08:26:PM
python			10/12/2019 08:26:PM
stata			10/12/2019 08:26:PM
.gitignore	text/plain	79 bytes	10/12/2019 04:26:PM
README.MD	text/plain	5.4 KB	10/12/2019 04:26:PM

Project Description

Summary: In this paper we develop a Bayesian framework to estimate a proxy structural vector autoregression to identify monetary policy shocks. We find that during the Great Moderation period, monetary policy shocks induce a persistent decline in real activity and tightening in financial conditions. Central to this result is a systematic component of monetary policy characterized by a direct and economically significant reaction to changes in corporate credit spreads. The failure to account for this endogenous reaction induces an attenuation in the response of all variables to monetary shocks, a result that also applies to the narrative identification of Romer and Romer (2004).

Scope of Project

JEL Classification:
      C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
      E23 Macroeconomics: Production
      E32 Business Fluctuations; Cycles
      E44 Financial Markets and the Macroeconomy
      E52 Monetary Policy
      E58 Central Banks and Their Policies

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Published Versions

V1 [2019-10-12]

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