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dc.contributor.authorCúrdia, Vascoen_US
dc.contributor.authorWoodford, Michaelen_US
dc.date.accessioned2010-05-06en_US
dc.date.accessioned2012-08-17T14:33:26Z-
dc.date.available2012-08-17T14:33:26Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/60786-
dc.description.abstractWe consider the desirability of modifying a standard Taylor rule for a central bank's interest rate policy to incorporate either an adjustment for changes in interest rate spreads (as proposed by Taylor [2008] and McCulley and Toloui [2008]) or a response to variations in the aggregate volume of credit (as proposed by Christiano et al. [2007]). We then examine how, under those adjustments, policy would respond to various types of economic disturbances, including those originating in the financial sector that increase equilibrium spreads and contract the supply of credit. We conduct our analysis using a simple DSGE model with credit frictions (Cúrdia and Woodford 2009), comparing the equilibrium responses to various disturbances under the modified Taylor rules with those under a policy that would maximize average expected utility. According to our model, a spread adjustment can improve on the standard Taylor rule, but the optimal size of the adjustment is unlikely to be as large as the one proposed, and the same type of adjustment is not desirable regardless of the source of variation in credit spreads. A response to credit is less likely to be helpful, and its desirable size (and even sign) is less robust to alternative assumptions about the nature and persistence of economic disturbances.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 385en_US
dc.subject.jelE50en_US
dc.subject.jelE40en_US
dc.subject.ddc330en_US
dc.subject.keywordCredit frictionsen_US
dc.subject.keywordmonetary policyen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwZinspolitiken_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwTaylor-Regelen_US
dc.subject.stwNeukeynesianische Makroökonomiken_US
dc.subject.stwDynamisches Modellen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwTheorieen_US
dc.titleCredit spreads and monetary policyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn622766414en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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