Monetary Policy Surprises, Credit Costs, and Economic Activity

• 成果类型: Article
• 署名作者: Gertler, Mark; Karadi, Peter
• 署名单位: New York University; National Bureau of Economic Research; European Central Bank; Center for Economic & Policy Research (CEPR)
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20130329
• 发表日期: 2015
• 页码: 44-76
• 关键词: interest-rates; federal-reserve; futures prices; yield curve; shocks; funds; identification; transmission; INFORMATION; channels

摘要

We provide evidence on the transmission of monetary policy shocks in a setting with both economic and financial variables. We first show that shocks identified using high frequency surprises around policy announcements as external instruments produce responses in output and inflation that are typical in monetary VAR analysis. We also find, however, that the resulting modest movements in short rates lead to large movements in credit costs, which are due mainly to the reaction of both term premia and credit spreads. Finally, we show that forward guidance is important to the overall strength of policy transmission.