Financial conditions and monetary policy in the US
Yükleniyor...
Dosyalar
Tarih
2020
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
We examine the FED's monetary policy rule with financial stability considerations and under asymmetry. We use the National Financial Conditions Index constructed by the Chicago FED in order to test whether financial stability concerns enter monetary policy formulations in the US. We model nonlinearity in monetary policy by a Markov regime-switching model. The results show that the monetary policy implemented by the FED can be characterized as a two-state Markov process and financial instability significantly increases the likelihood of regime-switching from a tranquil to a distressed regime. Moreover, the likelihood of a switch in the FED's monetary policy regime between tranquil and distressed seems to increase when a certain threshold level of the financial conditions index is reached. Finally, our results seem to be robust to alternative specifications of the reaction function and different forms of non-linearity.
Açıklama
Anahtar Kelimeler
Monetary policy, Central banking, Taylor rules, Markov regime switching, Markov-Switching Models, Central-Banks, Exchange-Rate, Taylor Rule, Stress
Kaynak
Economic Systems
WoS Q Değeri
Q1
Scopus Q Değeri
Q2
Cilt
44
Sayı
4
