Monetary Policy and Interest Rate Spreads

Dennis Nsafoah and Apostolos Serletis
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Dennis Nsafoah: Department of Economics University of Calgary

Open Economies Review, 2020, vol. 31, issue 3, No 8, 707-727

Abstract: Abstract This paper investigates the effects of monetary policy shocks and uncertainty about monetary policy on key macroeconomic variables and interest rate spreads — the term spread and credit spread. We use monthly data for the United States and a multivariate structural GARCH-in-Mean VAR model to estimate the effects on the growth rate of real output, the inflation rate, term spread, credit spread, and the policy rate. We find statistically significant effects on all economic and financial variables.

Keywords: Monetary policy uncertainty; GARCH-in-Mean VAR; Interest rate spreads (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s11079-019-09572-4

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