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

被引:8
作者
Fry-Mckibbin, Renee [1 ]
Zheng, Jasmine [1 ,2 ]
机构
[1] Australian Natl Univ, Ctr Appl Macroecon Anal, Canberra, ACT 0200, Australia
[2] KPMG, Hyderabad, Telangana, India
关键词
Monetary policy; financial stress; threshold vector autoregression models; F44; E44; E52; CREDIT; INFERENCE; TIME;
D O I
10.1080/00036846.2016.1186792
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
引用
收藏
页码:5802 / 5823
页数:22
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