Replication data for: Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs

Dario Caldara & Edward Herbst
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...
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