DIW Seminar on Macroeconomics and Financial Markets by Dario Caldara (Federal Reserve Board)
News from Nov 18, 2016
On Wednesday, November 23, noon-13:15 pm, Dario Caldara from the Federal Reserve Board will be the speaker of the DIW Seminar on Macroeconomics and Financial Markets. He will present his research paper on "Monetary Policy, Real activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs" at DIW Berlin (Gustav-Schmoller-Raum), DIW Berlin im Quartier 110, Mohrenstraße 58, 10117 Berlin
Monetary Policy, Real activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs
This paper studies the interaction between monetary policy, financial markets, and the real economy. We develop a Bayesian framework to estimate proxy structural vector autoregressions (SVARs) in which monetary policy shocks are identified by exploiting the information contained in high frequency data. For the Great Moderation period, we find that monetary policy shocks are key drivers of uctuations in industrial output and corporate credit spreads, explaining about 20 percent of the volatility of these variables. Central to this result is a systematic component of monetary policy characterized by a direct and economically significant reaction to changes in credit spreads. We show that the failure to account for this endogenous reaction induces an attenuation bias in the response of all variables to monetary shocks.
For more information on the program of the DIW Seminar on Macroeconomics and Financial Markets please klick follow this link.