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Συλλογές :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Διοίκησης Επιχειρήσεων / School of Business Τμήμα Οργάνωσης και Διοίκησης Επιχειρήσεων / Department of Business Administration Ερευνητικά δοκίμια / Working papers

Τίτλος :	ECB monetary policy in the presence of nonlinearities

Δημιουργός :	Drakos, Anastassios Kouretas Georgios P.

Τύπος :	Text

Φυσική περιγραφή :	21 pages

Αναγνωριστικό :	http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=5310

Περίληψη :	The recent financial crisis of 2007-2009 raises several issues related to the conduct ofmonetary policy during the last two decades. Inflation targeting monetary strategy hasbeen pointed as a potential source of the crisis, as its main objective of inflationstabilization might have diverted central banks from financial stability. We considerthe case of ECB inflation targeting monetary policy since its inception in order toprovide evidence of possible changes in its implementation after the collapse ofLehman Brothers in September 15, 2008. To this end we take into consideration theexistence of nonlinearities that may exist in the estimated Taylor rule specification.We employ three alternative econometric approaches: (a) The Qu and Peron (2007)structural break model; (b) a TVP model with stochastic model and (c) a Markov-Switching VAR model using quarterly data for the ECB for the period 2001:Q1 to2012:Q4. The main findings of our analysis show that the recent financial turmoil andthe debt crisis had not led the ECB to a stronger response to inflation in its reactionfunction and debt crisis. From a theoretical and policy perspective our findings implythat the ECB could stabilize inflation without adopting a more aggressive set ofmonetary rules to combat increased inflation changes.

Περίληψη :

The recent financial crisis of 2007-2009 raises several issues related to the conduct ofmonetary policy during the last two decades. Inflation targeting monetary strategy hasbeen pointed as a potential source of the crisis, as its main objective of inflationstabilization might have diverted central banks from financial stability. We considerthe case of ECB inflation targeting monetary policy since its inception in order toprovide evidence of possible changes in its implementation after the collapse ofLehman Brothers in September 15, 2008. To this end we take into consideration theexistence of nonlinearities that may exist in the estimated Taylor rule specification.We employ three alternative econometric approaches: (a) The Qu and Peron (2007)structural break model; (b) a TVP model with stochastic model and (c) a Markov-Switching VAR model using quarterly data for the ECB for the period 2001:Q1 to2012:Q4. The main findings of our analysis show that the recent financial turmoil andthe debt crisis had not led the ECB to a stronger response to inflation in its reactionfunction and debt crisis. From a theoretical and policy perspective our findings implythat the ECB could stabilize inflation without adopting a more aggressive set ofmonetary rules to combat increased inflation changes.

Λέξη κλειδί :	ECB Monetary policy Inflation targeting Taylor rule Markov-Switching VAR model

Διαθέσιμο από :	2017-03-16 16:27:49

Ημερομηνία έκδοσης :	15/09/2013

Ημερομηνία κατάθεσης :	2017-03-16 16:27:49

Δικαιώματα χρήσης :	Free access

Άδεια χρήσης :

Αρχείο: Drakos_2013.pdf

Τύπος: application/pdf

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