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Effects of the US monetary policy shocks during financial crises – a threshold vector autoregression approach

Fry-Mckibbin, Renée; Zheng, Jasmine


This article analyzes the impact of monetary policy during periods of low and high financial stress in the US economy using a threshold vector autoregression model. There is evidence that expansionary monetary policy is effective during periods of high financial stress with larger responses having a higher proportionate effect on output. The existence of a cost channel effect during periods of high financial stress implies the existence of a short run output-inflation trade off during financial...[Show more]

CollectionsANU Research Publications
Date published: 2016
Type: Journal article
Source: Applied Economics
DOI: 10.1080/00036846.2016.1186792


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