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• W2438482572 abstract "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)" @default.
• W2438482572 created "2016-06-24" @default.
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• W2438482572 date "2019-01-01" @default.
• W2438482572 modified "2023-10-09" @default.
• W2438482572 title "Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs" @default.
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• W2438482572 doi "https://doi.org/10.1257/mac.20170294" @default.
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