Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …

instrumental variable procedure to estimate the impact of the credit shock performs well and is relatively robust to measurement …, VARs of the narrative variety, i.e. VAR models that include measures of the credit shock as endogenous variables are highly … suggests, however, that the credit supply shock is hard to identify in practice. …

This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply … instruments is effective in recovering the underlying shock. In contrast, identification based on recursive schemes and …, on average, that credit supply shocks that raise spreads by 10 basis points reduce GDP growth and inflation by 1% after …