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: 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: Monetary Policy; Central Bank; Financial conditions

JEL Classification:
      E44 Financial Markets and the Macroeconomy
      E52 Monetary Policy
      E58 Central Banks and Their Policies

Geographic Coverage: United States of America, Australia, Canada, Germany, Japan, Switzerland, United Kingdom

Time Period(s): 1990 – 2022 (Financial conditions); 1/1998 – 12/2021 (Government Bond Yields)

Collection Date(s): 12/10/2022 – 12/11/2022

Universe: U.S. Financial conditions; Advanced Economy Government Bond Yields

Data Type(s): aggregate data; program source code

Methodology

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: Month, Country, Bond term

Geographic Unit: Country

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Published Versions

V1 [2023-01-31]

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