Monetary policy rules and financial stress : does financial instability matter for monetary
Baxa, Jaromír
Horvath, Roman
Vasicek, Borek
Universitat Autònoma de Barcelona. Departament d'Economia Aplicada

Date: 2011
Description: 46 p.
Abstract: We examine whether and how main central banks responded to episodes of financial stress over the last three decades. We employ a new methodology for monetary policy rules estimation, which allows for time-varying response coefficients as well as corrects for endogeneity. This flexible framework applied to the U. S. , U. K. , Australia, Canada and Sweden together with a new financial stress dataset developed by the International Monetary Fund allows not only testing whether the central banks responded to financial stress but also detects the periods and type of stress that were the most worrying for monetary authorities and to quantify the intensity of policy response. Our findings suggest that central banks often change policy.
Rights: Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús Creative Commons
Language: Anglès
Series: Departament d'Economia Aplicada. Documents de treball
Series: Document de treball (Universitat Autònoma de Barcelona. Departament d'Economia Aplicada) ; 1101
Document: Working paper
Subject: Política monetària ; Models matemàtics



46 p, 773.7 KB

The record appears in these collections:
Research literature > Working papers > Department of Applied Economics. Working papers

 Record created 2011-06-10, last modified 2023-07-28



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