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  • 1
    Online-Ressource
    Online-Ressource
    The nonlinear interaction between monetary policy and financial stress (2017)
    [Washington, D.C.] : International Monetary Fund
    Details
    UID:
    gbv_1015250734
    Umfang: 1 Online-Ressource (circa 35 Seiten) , Illustrationen
    ISBN: 9781484313794
    Serie: IMF working paper WP/17, 184
    Inhalt: This paper analyzes the nonlinear relationship between monetary policy and financial stress and its effects on the transmission of shocks to output. Results from a Bayesian Threshold Vector Autoregression (TVAR) model show that the effects of monetary policy shocks on output growth are stronger during normal times than during times of financial stress. Monetary policy shocks are effective to ease stressed financial conditions, but have limited ability to fully contain the buildup of vulnerabilities. These results have important policy implications for central banks' countercyclical policies under different financial conditions and for 'lean against the wind' policies to address financial vulnerabilities
    Weitere Ausg.: Erscheint auch als Druck-Ausgabe Saldías, Martín The Nonlinear Interaction Between Monetary Policy and Financial Stress Washington, D.C. : International Monetary Fund, 2017 ISBN 9781484313794
    Sprache: Englisch
    Schlagwort(e): Graue Literatur
    DOI: 10.5089/9781484313794.001
    URL: kostenfrei
    URL: Volltext  (kostenfrei)
    URL: Volltext  (kostenfrei)
    URL: kostenfrei
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Online-Ressource
    Volltext
    Volltext
    Stabi Berlin
  • 2
    Online-Ressource
    Online-Ressource
    The Nonlinear Interaction Between Monetary Policy and Financial Stress / (2017)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    edocfu_9959301364902883
    Umfang: 1 online resource (35 pages)
    ISBN: 1-4843-1422-0 , 1-4843-1427-1
    Serie: IMF Working Papers
    Inhalt: This paper analyzes the nonlinear relationship between monetary policy and financial stress and its effects on the transmission of shocks to output. Results from a Bayesian Threshold Vector Autoregression (TVAR) model show that the effects of monetary policy shocks on output growth are stronger during normal times than during times of financial stress. Monetary policy shocks are effective to ease stressed financial conditions, but have limited ability to fully contain the buildup of vulnerabilities. These results have important policy implications for central banks’ countercyclical policies under different financial conditions and for “lean against the wind” policies to address financial vulnerabilities.
    Anmerkung: Cover -- Contents -- Abstract -- I. Introduction -- II. Overview of the Literature -- A. Regime-Dependent Monetary Transmission -- B. Monetary Policy and Financial Stress -- III. Empirical Approach -- A. Econometric Model -- B. Data -- IV. Results -- A. Financial Stress Regimes -- B. Transmission Mechanism to Output Growth -- C. Monetary Policy and Financial Stress -- V. Robustness Checks -- A. Alternative FSI Thresholds -- B. Testing Regimes -- VI. Conclusions -- References -- Table -- 1. Deviance Information Criterion -- Figures -- 1. Financial Stress Regimes Determined by Average Distance-to-Default -- 2. Impulse Response Functions-Impact of a 100 bps Monetary Policy Shock on Output Growth -- 3. Differences Across Regimes-Difference in Impact of a 100 bps Monetary Policy Shock on Output Growth Threshold Variable: ADD -- 4. Impulse Response Functions-Impact of a 100 bps Monetary Policy Shock on Average Distance-to-Default -- 5. Differences Across Regimes-Difference in Impact of 100 bps Monetary Policy Shock on ADD -- 6. Maximum Impact of a 100 bps Monetary Policy Shock on Median-Average Distance-to-Default Across Regimes -- 7. Financial Stress Regimes Determined by Financial Stress Index -- 8. Impulse Response Functions-Impact of a 100 bps Monetary Policy Tightening on Output Growth Threshold Variable: FSI -- 9. Impulse Response Functions-Impact of a 100 bps Monetary Policy Shock on FSI -- Appendices -- I. Bayesian Threshold Vector Autoregression Model -- II. Data Sources and Definitions -- III. Supplementary Figures -- Appendix Tables -- 1. Macrofinancial Data -- 2. Financial Companies' Names and ISIN Codes.
    Weitere Ausg.: ISBN 1-4843-1379-8
    Sprache: Englisch
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Online-Ressource
    FU Berlin
  • 3
    Online-Ressource
    Online-Ressource
    The Nonlinear Interaction Between Monetary Policy and Financial Stress / (2017)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    edoccha_9959301364902883
    Umfang: 1 online resource (35 pages)
    ISBN: 1-4843-1422-0 , 1-4843-1427-1
    Serie: IMF Working Papers
    Inhalt: This paper analyzes the nonlinear relationship between monetary policy and financial stress and its effects on the transmission of shocks to output. Results from a Bayesian Threshold Vector Autoregression (TVAR) model show that the effects of monetary policy shocks on output growth are stronger during normal times than during times of financial stress. Monetary policy shocks are effective to ease stressed financial conditions, but have limited ability to fully contain the buildup of vulnerabilities. These results have important policy implications for central banks’ countercyclical policies under different financial conditions and for “lean against the wind” policies to address financial vulnerabilities.
    Anmerkung: Cover -- Contents -- Abstract -- I. Introduction -- II. Overview of the Literature -- A. Regime-Dependent Monetary Transmission -- B. Monetary Policy and Financial Stress -- III. Empirical Approach -- A. Econometric Model -- B. Data -- IV. Results -- A. Financial Stress Regimes -- B. Transmission Mechanism to Output Growth -- C. Monetary Policy and Financial Stress -- V. Robustness Checks -- A. Alternative FSI Thresholds -- B. Testing Regimes -- VI. Conclusions -- References -- Table -- 1. Deviance Information Criterion -- Figures -- 1. Financial Stress Regimes Determined by Average Distance-to-Default -- 2. Impulse Response Functions-Impact of a 100 bps Monetary Policy Shock on Output Growth -- 3. Differences Across Regimes-Difference in Impact of a 100 bps Monetary Policy Shock on Output Growth Threshold Variable: ADD -- 4. Impulse Response Functions-Impact of a 100 bps Monetary Policy Shock on Average Distance-to-Default -- 5. Differences Across Regimes-Difference in Impact of 100 bps Monetary Policy Shock on ADD -- 6. Maximum Impact of a 100 bps Monetary Policy Shock on Median-Average Distance-to-Default Across Regimes -- 7. Financial Stress Regimes Determined by Financial Stress Index -- 8. Impulse Response Functions-Impact of a 100 bps Monetary Policy Tightening on Output Growth Threshold Variable: FSI -- 9. Impulse Response Functions-Impact of a 100 bps Monetary Policy Shock on FSI -- Appendices -- I. Bayesian Threshold Vector Autoregression Model -- II. Data Sources and Definitions -- III. Supplementary Figures -- Appendix Tables -- 1. Macrofinancial Data -- 2. Financial Companies' Names and ISIN Codes.
    Weitere Ausg.: ISBN 1-4843-1379-8
    Sprache: Englisch
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Online-Ressource
    Charité
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