Credit Markets and the Propagation of Monetary Policy Shocks



Appendix B: Tables and Figures

Table 1

Regression of policy variables on monetary shock

Dependent variable, y(t)

FEDSEC NBR

constant

2.2433

(5.914)

0.5935

(1.637)

y(t-1)

-0.1154

0.2764

(-1.227)

(1.385)

y(t-2)

0.0837

-0.2190

(0.966)

(-1.764)

y(t - 3)

-0.0092

0.0887

(-0.136)

(0.981)

y(t-4)

-0.1388

0.0927

(-1.662)

(0.919)

Monetary shock

0.4925

0.8070

(3.436)

(2.959)

Results from OLS regression of variable y(t) on four lags and
the monetary shock. T-statistics based on White’s heteroske-
dasticity consistent variance matrix in parenthesis.

30



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