当前位置: X-MOL 学术Econ. Syst. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Financial conditions and monetary policy in the US
Economic Systems ( IF 2.310 ) Pub Date : 2020-11-02 , DOI: 10.1016/j.ecosys.2020.100819
Sel Dibooglu , Seyfettin Erdogan , Durmus Cagri Yildirim , Emrah Ismail Cevik

We examine the FED’s monetary policy rule with financial stability considerations and under asymmetry. We use the National Financial Conditions Index constructed by the Chicago FED in order to test whether financial stability concerns enter monetary policy formulations in the US. We model nonlinearity in monetary policy by a Markov regime-switching model. The results show that the monetary policy implemented by the FED can be characterized as a two-state Markov process and financial instability significantly increases the likelihood of regime-switching from a “tranquil” to a “distressed” regime. Moreover, the likelihood of a switch in the FED’s monetary policy regime between tranquil and distressed seems to increase when a certain threshold level of the financial conditions index is reached. Finally, our results seem to be robust to alternative specifications of the reaction function and different forms of non-linearity.



中文翻译:

美国的财务状况和货币政策

我们在考虑金融稳定性和非对称性的情况下研究美联储的货币政策规则。我们使用芝加哥联储制定的《国家金融状况指数》,以测试是否对金融稳定性问题进入美国的货币政策制定。我们通过马尔可夫政权转换模型对货币政策中的非线性进行建模。结果表明,美联储实施的货币政策可被描述为两国的马尔可夫过程,而金融不稳定会显着增加政权从“平静”政权转向“困境”政权的可能性。此外,当金融状况指数达到某个阈值水平时,美联储的货币政策体系在平静和陷入困境之间转换的可能性似乎会增加。最后,

更新日期:2020-11-02
down
wechat
bug