The effects of monetary policy shocks: Evidence from the flow of funds

• 成果类型: Article
• 署名作者: Christiano, LJ; Eichenbaum, M; Evans, C
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Chicago; Federal Reserve System - USA
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.2307/2109845
• 发表日期: 1996-02
• 页码: 16-34
• 关键词: time-series facts; transmission mechanism; liquidity

摘要

This paper assesses the impact of a monetary policy shock on the U.S. economy. Our measures of contractionary monetary policy shocks are associated with (i) a fall in various monetary aggregates and a rise in the federal funds rate, (ii) declines in different measures of real activity, (iii) sharp declines in commodity prices and a delayed decline in the GDP price deflator. In addition, net funds raised by the business sector increases for roughly a year, after which it falls. Finally, we find that households do not adjust their financial assets and liabilities for several quarters after a monetary shock.