Data and Code for: Monetary Policy When the Central Bank Shapes Financial-Market Sentiment

Principal Investigator(s):  View help for Principal Investigator(s) Anil K. Kashyap, University of Chicago. Booth School of Business; Jeremy C. Stein, Harvard University

Version:  View help for Version V1

Name File Type Size Last Modified
  Data 12/14/2022 10:16:AM
  Output 12/14/2022 10:22:AM
  Programs 01/10/2023 12:24:PM
README.pdf application/pdf 378.6 KB 12/14/2022 05:16:AM

Project Citation: 

Kashyap, Anil K., and Stein, Jeremy C. Data and Code for: Monetary Policy When the Central Bank Shapes Financial-Market Sentiment. Nashville, TN: American Economic Association [publisher], 2023. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-01-31. https://doi.org/10.3886/E183525V1

Project Description

Summary:  View help for Summary Recent research has found that monetary policy works in part by influencing the risk premiums on both traded financial-market securities and intermediated loans. Research has also shown that when risk premiums are compressed, there is an increased likelihood of a reversal that damages the credit-supply mechanism and the real economy. Together these effects create an intertemporal tradeoff for monetary policy, as stimulating the economy today can sow the seeds of a future downturn that might be difficult to offset. We introduce a simple model of this tradeoff and draw out its implications for the conduct of monetary policy.

Scope of Project

Subject Terms:  View help for Subject Terms Monetary Policy; Central Bank; Financial conditions
JEL Classification:  View help for JEL Classification
      E44 Financial Markets and the Macroeconomy
      E52 Monetary Policy
      E58 Central Banks and Their Policies
Geographic Coverage:  View help for Geographic Coverage United States of America, Australia, Canada, Germany, Japan, Switzerland, United Kingdom
Time Period(s):  View help for Time Period(s) 1990 – 2022 (Financial conditions); 1/1998 – 12/2021 (Government Bond Yields)
Collection Date(s):  View help for Collection Date(s) 12/10/2022 – 12/11/2022
Universe:  View help for Universe U.S. Financial conditions; Advanced Economy Government Bond Yields
Data Type(s):  View help for Data Type(s) aggregate data; program source code

Methodology

Data Source:  View help for Data Source 1. Advanced Economy Central Banks' websites
2. Federal Reserve Bank of St. Louis (FRED)
3. Bloomberg Terminal
4. Robert J. Shiller's website
Unit(s) of Observation:  View help for Unit(s) of Observation Month, Country, Bond term
Geographic Unit:  View help for Geographic Unit Country

Related Publications

Download this project

Published Versions

V1 [2023-01-31]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as received from the data depositor. As of April 2026, depositors are required to submit study materials in accessible formats. ICPSR has not reviewed, checked, or processed this material. For additional information about the study, please contact the investigator(s) directly. If you have questions about the accessibility of materials distributed by ICPSR or require further assistance, please visit ICPSR's Accessibility Center.