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

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://dx.doi.org/10.1016/j.jfs.2011.10.002
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 generalized response. With regard to the specific components of financial stress, most central banks seemed to respond to stock-market stress and bank stress, while exchange-rate stress is found to drive the reaction of central banks only in more open economies. 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 generalized response. With regard to the specific components of financial stress, most central banks seemed to respond to stock-market stress and bank stress, while exchange-rate stress is found to drive the reaction of central banks only in more open economies. (en)
Title	Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? (en)
skos:prefLabel	Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? (en)
skos:notation	RIV/00216208:11230/13:10159137!RIV14-GA0-11230___
http://linked.open...avai/predkladatel	Fakulta sociálních věd
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GAP402/11/1487)
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Vašíček, Bořek Horváth, Roman Baxa, Jaromír
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	111130
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/13:10159137
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Endogenous regressors; Time-varying parameter model; Monetary policy; Taylor rule; Financial stress (en)
http://linked.open.../riv/klicoveSlovo	Taylor rule Endogenous regressors Financial stress Time-varying parameter model Monetary policy
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[E568FB1C5F26]
http://linked.open...i/riv/nazevZdroje	Journal of Financial Stability
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Monetary policy, financial stability and financial crisis
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	9
http://linked.open...iv/tvurceVysledku	Horváth, Roman Baxa, Jaromír Vašíček, Bořek
http://linked.open...ain/vavai/riv/wos	000315806100010
issn	1572-3089
number of pages	22 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.jfs.2011.10.002
http://localhost/t...ganizacniJednotka	11230

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 112 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software