Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs

• 成果类型: Article
• 署名作者: Caldara, Dario; Herbst, Edward
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20170294
• 发表日期: 2019
• 页码: 157-192
• 关键词: structural vector autoregressions; shocks; surprises; COSTS

摘要

In this paper, we develop a Bayesian framework to estimate a proxy structural vector autoregression to identify monetary policy shocks. We find that during the Great Moderation period, monetary policy shocks induce a persistent decline in real activity and tightening in financial conditions. Central to this result is a systematic component of monetary policy characterized by a direct and economically significant reaction to changes in corporate credit spreads. The failure to account for this endogenous reaction induces an attenuation in the response of all variables to monetary shocks, a result that also applies to the narrative identification of Romer and Romer (2004).