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]
dc.contributor.author | Fry-Mckibbin, Renée | |
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dc.contributor.author | Zheng, Jasmine | |
dc.date.accessioned | 2016-08-18T01:51:55Z | |
dc.date.available | 2016-08-18T01:51:55Z | |
dc.identifier.issn | 0003-6846 | |
dc.identifier.uri | http://hdl.handle.net/1885/107222 | |
dc.description.abstract | 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 crises. Large expansionary monetary shocks also increase the likelihood of moving the economy out of a high financial stress regime. | |
dc.publisher | Taylor & Francis | |
dc.rights | © 2016 Informa UK Limited, trading as Taylor & Francis Group. http://www.sherpa.ac.uk/romeo/issn/0003-6846/..."author can archive pre-print (ie pre-refereeing)" from SHERPA/RoMEO site (as at 19/08/16). | |
dc.source | Applied Economics | |
dc.subject | Monetary policy | |
dc.subject | financial stress | |
dc.subject | threshold vector autoregression models | |
dc.title | Effects of the US monetary policy shocks during financial crises – a threshold vector autoregression approach | |
dc.type | Journal article | |
local.description.notes | This is the original manuscript of an article published by Taylor & Francis in Applied Economics on 2016, available online: http://www.tandfonline.com/10.1080/00036846.2016.1186792 | |
dc.date.issued | 2016 | |
local.publisher.url | http://www.routledge.com/ | |
local.type.status | Submitted Version | |
local.contributor.affiliation | Fry-Mckibbin, R., Centre for Applied Macroeconomic Analysis, The Australian National University | |
local.contributor.affiliation | Zheng, J., Centre for Applied Macroeconomic Analysis, The Australian National University | |
dc.relation | http://purl.org/au-research/grants/arc/DP120103443 | |
local.bibliographicCitation.startpage | 1 | |
local.bibliographicCitation.lastpage | 22 | |
local.identifier.doi | 10.1080/00036846.2016.1186792 | |
dcterms.accessRights | Open Access | |
Collections | ANU Research Publications |
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