My da|ra Login

Detailed view

metadata language: English

Replication data for: Monetary Policy Surprises, Credit Costs, and Economic Activity

Version
1
Resource Type
Dataset
Creator
  • Gertler, Mark
  • Karadi, Peter
Publication Date
2015-01-01
Description
  • Abstract

    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. (JEL E31, E32, E43, E44, E52, G01)
Availability
Download
Relations
  • Is supplemented by
    DOI: 10.1257/mac.20130329 (Text)
Publications
  • Gertler, Mark, and Peter Karadi. “Monetary Policy Surprises, Credit Costs, and Economic Activity.” American Economic Journal: Macroeconomics 7, no. 1 (January 2015): 44–76. https://doi.org/10.1257/mac.20130329.
    • ID: 10.1257/mac.20130329 (DOI)

Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Gertler, Mark; Karadi, Peter (2015): Replication data for: Monetary Policy Surprises, Credit Costs, and Economic Activity. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114082V1