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Revisiting the macroeconomic effects of monetary policy shocks

Firmin Doko Tchatoka and Qazi Haque

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We shed new light on the effects of monetary policy shocks in the US. Gertler and Karadi (2015) suggest that movements in credit costs may result in substantial impact of monetary policy shocks on economic activity. Using the proxy SVAR framework, we show that once the Volcker disinflation period is left out and one focuses on the post-1984 period, monetary policy shocks have no significant effects on output, despite large movements in credit costs. Our finding is robust to weak identification and alternative measure of economic activity.

Keywords: Monetary policy shocks; Proxy-SVAR; Weak identification; Output Dynamics (search for similar items in EconPapers)
JEL-codes: E31 E32 E43 E44 E52 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2021-07
New Economics Papers: this item is included in nep-cba, nep-cwa, nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Revisiting the Macroeconomic Effects of Monetary Policy Shocks (2024) Downloads
Working Paper: Revisiting the macroeconomic effects of monetary policy shocks (2021) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2021-61

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