scholarly journals The Interplay between Financial Conditions and Monetary Policy Shocks

2016 ◽  
Author(s):  
Marco Bassetto ◽  
Luca Benzoni ◽  
Trevor Serrao
Keyword(s):  
Monetary Policy ◽  
Monetary Policy Shocks ◽  
Financial Conditions ◽  
Policy Shocks

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

2019 ◽  
Vol 11 (1) ◽  
pp. 157-192 ◽  
Author(s):  
Dario Caldara ◽  
Edward Herbst
Keyword(s):  
Monetary Policy ◽  
Credit Spreads ◽  
Monetary Shocks ◽  
Structural Vector Autoregression ◽  
Monetary Policy Shocks ◽  
Real Activity ◽  
Financial Conditions ◽  
Corporate Credit ◽  
Policy Shocks ◽  
Jel C32

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). (JEL C32, E23, E32, E44, E52, E58)

Is bigger more effective? shock size and the efficacy of monetary policy

2021 ◽  
pp. 1-10
Author(s):  
Toyoichiro Shirota
Keyword(s):  
Monetary Policy ◽  
Projection Method ◽  
Monetary Policy Shocks ◽  
Information Effect ◽  
Local Projection ◽  
Policy Effects ◽  
Potential Source ◽  
The Us ◽  
Policy Shocks ◽  
Us Monetary Policy

Abstract This study empirically examines whether shock size matters for the US monetary policy effects. Using a nonlinear local projection method, I find that large monetary policy shocks are less powerful than smaller monetary policy shocks, with the information effect being the potential source of the observed asymmetry in monetary policy efficacy.

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