Credit Spreads and Monetary Policy

B-Tier
Journal: Journal of Money, Credit, and Banking
Year: 2010
Volume: 42
Issue: s1
Pages: 3-35

Authors (2)

VASCO CÚRDIA (not in RePEc) MICHAEL WOODFORD (Columbia University)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We consider the desirability of modifying a standard Taylor rule for interest rate policy to incorporate adjustments for measures of financial conditions. We consider the consequences of such adjustments for the way policy would respond to a variety of disturbances, using the dynamic stochastic general equilibrium model with credit frictions developed in Cúrdia and Woodford (2009a). According to our model, an adjustment for variations in credit spreads can improve upon the standard Taylor rule, but the optimal size of adjustment depends on the source of the variation in credit spreads. A response to the quantity of credit is less likely to be helpful.

Technical Details

RePEc Handle
repec:wly:jmoncb:v:42:y:2010:i:s1:p:3-35
Journal Field
Macro
Author Count
2
Added to Database
2026-01-25