Effects of the US monetary policy shocks during financial crises – a threshold vector autoregression approach
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Fry-Mckibbin, Renée; Zheng, Jasmine
Description
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]
Collections | ANU Research Publications |
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Date published: | 2016 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/107222 |
Source: | Applied Economics |
DOI: | 10.1080/00036846.2016.1186792 |
Access Rights: | Open Access |
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File | Description | Size | Format | Image |
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01_Fry-McKibbin_Effects_of_US_Monetary_2016.pdf | 717.58 kB | Adobe PDF |
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