Decomposing the monetary policy multiplier☆

• 成果类型: Article
• 署名作者: Alessandri, Piergiorgio; Jorda, Oscar; Venditti, Fabrizio
• 署名单位: European Central Bank; Bank of Italy; Federal Reserve System - USA; University of California System; Federal Reserve Bank - San Francisco; University of California Davis; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2025.103783
• 发表日期: 2025
• 关键词: impulse-response analysis; credit spreads; good times; uncertainty; transmission; DYNAMICS; shocks; crises; MODEL

摘要

Financial markets play an important role in generating monetary policy transmission asymmetries in the U.S. Credit spreads only adjust to unexpected increases in interest rates, causing output and prices to respond more to a monetary contraction than to a monetary loosening. At a one year horizon, the 'financial multiplier' of monetary policy - defined as the ratio between the cumulative responses of employment and credit spreads - is zero for a monetary loosening,-2 for a monetary contraction, and-4 for a monetary contraction that takes place under strained credit market conditions. These results have important policy implications: monetary policy may become inadvertently tight in times of financial distress.