| bibtype |
J -
Journal Article
|
| ARLID |
0395375 |
| utime |
20240103202849.0 |
| mtime |
20130911235959.9 |
| WOS |
000315806100010 |
| SCOPUS |
84860919312 |
| DOI |
10.1016/j.jfs.2011.10.002 |
| title
(primary) (eng) |
Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0310626 |
| ISSN |
1572-3089 |
| title
|
Journal of Financial Stability |
| volume_id |
9 |
| volume |
1 (2013) |
| page_num |
117-138 |
| publisher |
|
|
| keyword |
Financial stress |
| keyword |
Time-varying parameter model |
| keyword |
Endogenous regressors |
| author
(primary) |
| ARLID |
cav_un_auth*0231592 |
| name1 |
Baxa |
| name2 |
Jaromír |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0233735 |
| name1 |
Horváth |
| name2 |
R. |
| country |
CZ |
|
| author
|
| ARLID |
cav_un_auth*0257114 |
| name1 |
Vašíček |
| name2 |
B. |
| country |
CZ |
|
| source |
|
| cas_special |
| abstract
(eng) |
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. |
| reportyear |
2014 |
| RIV |
AH |
| num_of_auth |
3 |
| mrcbC52 |
4 A 4a 20231122135743.6 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0223469 |
| mrcbT16-e |
BUSINESSFINANCE|ECONOMICS |
| mrcbT16-f |
2.652 |
| mrcbT16-g |
0.333 |
| mrcbT16-h |
4.0 |
| mrcbT16-i |
0.00172 |
| mrcbT16-j |
0.918 |
| mrcbT16-k |
389 |
| mrcbT16-l |
63 |
| mrcbT16-s |
1.698 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
60.292 |
| mrcbT16-C |
95.299 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1* |
| arlyear |
2013 |
| mrcbTft |
\nSoubory v repozitáři: baxa-0395375.pdf |
| mrcbU14 |
84860919312 SCOPUS |
| mrcbU34 |
000315806100010 WOS |
| mrcbU63 |
cav_un_epca*0310626 Journal of Financial Stability 1572-3089 1878-0962 Roč. 9 č. 1 2013 117 138 Elsevier |
|