Monetary policy rules and financial stress : does financial instability matter for monetary
| Autor: | Baxa, Jaromír, Horvath, Roman, Vasicek, Borek, Universitat Autònoma de Barcelona. Departament d'Economia Aplicada |
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| Rok vydání: | 2021 |
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| Zdroj: | Recercat. Dipósit de la Recerca de Catalunya instname Recercat: Dipósit de la Recerca de Catalunya Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) Dipòsit Digital de Documents de la UAB Universitat Autònoma de Barcelona |
| Popis: | 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 |
| Databáze: | OpenAIRE |
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