Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy?

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F13%3A00395375" target="_blank" >RIV/67985556:_____/13:00395375 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11230/13:10159137

Result on the web

<a href="http://dx.doi.org/10.1016/j.jfs.2011.10.002" target="_blank" >http://dx.doi.org/10.1016/j.jfs.2011.10.002</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jfs.2011.10.002" target="_blank" >10.1016/j.jfs.2011.10.002</a>

Result language

angličtina

Original language name

Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy?

Original language description

We examine whether and how selected central banks responded to episodes of financial stress over the last three decades. We employ a recently developed monetary-policy rule estimation methodology which allows for time-varying response coefficients and corrects for endogeneity. This flexible framework applied to the USA, the UK, Australia, Canada, and Sweden, together with a new financial stress dataset developed by the International Monetary Fund, not only allows testing of whether central banks responded to financial stress, but also detects the periods and types of stress that were the most worrying for monetary authorities and quantifies the intensity of the policy response. Our findings suggest that central banks often change policy rates, mainly decreasing them in the face of high financial stress. However, the size of the policy response varies substantially over time as well as across countries, with the 2008?2009 financial crisis being the period of the most severe and generali

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GAP402%2F11%2F1487" target="_blank" >GAP402/11/1487: Monetary policy, financial stability and financial crisis</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Financial Stability

ISSN

1572-3089

e-ISSN

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Volume of the periodical

9

Issue of the periodical within the volume

1

Country of publishing house

US - UNITED STATES

Number of pages

21

Pages from-to

117-138

UT code for WoS article

000315806100010

EID of the result in the Scopus database

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