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  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.

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


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

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