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Revisiting the macroeconomic effects of monetary policy shocks

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  • Firmin Doko Tchatoka

    (School of Economics & Public Policy, University of Adelaide)

  • Qazi Haque

    (School of Economics & Public Policy, University of Adelaide)

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 disination period is left out and one focuses on the post-1984 period, monetary policy shocks have no signfcant effects on output, despite large movements in credit costs. Our finding is robust to weak identfcation and alternative measure of economic activity.

Suggested Citation

  • Firmin Doko Tchatoka & Qazi Haque, 2021. "Revisiting the macroeconomic effects of monetary policy shocks," School of Economics and Public Policy Working Papers 2021-02 Classification-E3, University of Adelaide, School of Economics and Public Policy.
    • Handle: RePEc:adl:wpaper:2021-02
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    1. Jonathan Hambur & Qazi Haque, 2023. "Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!," RBA Research Discussion Papers rdp2023-04, Reserve Bank of Australia.

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    More about this item

    Keywords

    Monetary policy shocks; Proxy-SVAR; Weak identifcation; Output dynamics.;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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