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 fluctuations 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.

中文翻译：

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货币政策，实际活动和信贷利差：来自贝叶斯代理SVAR的证据

本文研究了货币政策，金融市场和实体经济之间的相互作用。我们开发了一种贝叶斯框架来估计代理结构向量自回归（SVAR），其中通过利用高频数据中包含的信息来识别货币政策冲击。在大温和时期，我们发现货币政策冲击是工业产出和企业信贷息差波动的主要驱动力，解释了这些变量的波动性约占20％。这一结果的核心是货币政策的系统组成部分，其特征是对信贷息差的变化具有直接和经济上的重大反应。我们表明，未能解释这种内生反应会导致所有变量对货币冲击的反应产生衰减偏差。