How Does Monetary Policy Respond to Financial Stress?

Roman Horvath, Jaromir Baxa and Bořek Vašíček ()

No 2769, EcoMod2011 from EcoMod

Abstract: We examine whether and how main central banks responded to episodes of financial stress over the last three decades.Time-varying parameter model with endogenous regressorsQuantify the time-varying effect of financial stress (and its components) on interest rate setting.

Keywords: US; UK; Canada; Sweden and Australia; Macroeconometric modeling; Monetary issues (search for similar items in EconPapers)
Date: 2011-07-06
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Related works:
Journal Article: Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? (2013)
Working Paper: Time-Varying Monetary-Policy Rules and Financial Stress: Does Financial Instability Matter for Monetary Policy? (2011)
Working Paper: Monetary Policy Rules and Financial Stress: Does Financial Instability Matter for Monetary (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ekd:002625:2769

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