Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs
开发了一个贝叶斯框架来估计代理结构向量自回归，以识别货币政策冲击。研究发现，在大缓和时期，货币政策冲击导致实际经济活动持续下降和金融状况收紧，关键在于货币政策对信用利差的系统性反应。
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).