Douch, Mohamed (2005): The macroeconomic effects of monetary policy and financial crisis.
Download (621Kb) | Preview
In this paper we focus on postwar US data and incorporate new nancial measures and monetary policy shocks in a vector autoregression (VAR) system in order to test whether one or the other has any real effect on the economy. We nd econometric evidence that these shocks and events are exogenous, and therefore the exogenous nature of shocks to monetary policy and stock market crashes investigated in this study may help policymakers, especially regarding debates related to eventual relationships between optimal monetary policy and nancial stability.
|Item Type:||MPRA Paper|
|Original Title:||The macroeconomic effects of monetary policy and financial crisis|
|Keywords:||Financial crisis; monetary policy|
|Subjects:||E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
G - Financial Economics > G1 - General Financial Markets
|Depositing User:||Mohamed Douch|
|Date Deposited:||11. Dec 2006|
|Last Modified:||17. Feb 2013 17:45|
Bagliano, F., and C.A. Favero, 1998, "Measuring monetary policy with VAR models: an evaluation", European Economic Review 42, 1069-1112.
Barth, M. J. III, and V. A. Ramey, 2001, "The Cost Channel of Monetary Transmission", NBER Macroeconomics Annual 16, 199-240.
Bernanke, B. S., and A. S. Blinder, 1992, "The Federal Funds Rate and the Channels of Monetary Transmission", American Economic Review 82, 681-21.
Bernanke, B., and I. Mihov, 1998, "Measuring Monetary Policy", Quarterly Journal of Economics, 113, 869-902.
Boivin, J., 2001, "The Fed’s Conduct of Monetary Policy: Has It Changed and Does It Matter?", Unpublished Paper, Columbia University.
Christiano, L. J., M. Eichenbaum and C. Evans, 1994, "Identication and the Effects of Monetary Policy Shocks", Federal Reserve Bank of Chicago Working Paper 94- 7.
Christiano, L. J., M. Eichenbaum and C. Evans, 1996, "The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds", Review of Economics and Statistics 78, 16-34.
Christiano, L. J., M. Eichenbaum and C. Evans, 1999, "Monetary policy shocks: what have we learnt and to what end", NBER Working Paper # 6400.
Enders, W., 1995, "Applied Econometrics Time Series", New York: John Wiley & Sons, Inc.
Gordon, D. B. and E. M. Leeper, 1994, "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identication", Journal of Political Economy 102, 1228-47.
Hamilton, J. D., 1983, " Oil and Macroeconomy since World War II", Journal of Political Economy 91, 228-248.
Hamilton, J. D., 1994, "Time Series Analysis", Princeton: Princeton University Press. Hoover, K. D. and S. J. Perez, 1994, "Post Hoc Ergo Propter Hoc Once More: An Evaluation of’Does Monetary Policy Matter?’ in the Spirit of James Tobin", Journal of Monetary Economics 34, 47-73.
Horent, E., 2002, " An Empirical Analysis of the Macroeconomic Effects of Government Purchases" , Ph.D. dissertation, Louisiana State University, Department of Economics.
Kilian, L., 2001, "Impulse Response Analysis in Vector Autoregression with Unknown Lag Order", Journal of Forecasting 20, 161-179.
Leeper, E. M., 1997, "Narrative and VAR Approaches to Monetary Policy: Common Identication Problems", Journal of Monetary Economics 40, 641-658.
Leeper, E. M., C. A. Sims, and T. Zha, 1996, "What Does Monetary Policy Do?", Brookings Papers on Economic Activity 2, 1-78.
Littermans, R. B. and L. Weiss, 1985, "Money, Real Interest Rates and Output: A Reinterpretation of Postwar U.S. Data", Econometrica 53, 129-56.
Lütkepohl, H., 1991, " Introduction to Multiple Time Series Analysis", Springer-Verlag.
Mishkin, F. S., 1997, "The Causes and Propagation of Financial Stability in a Global Economy", Federal Reserve Bank of Kansas City, Kansas City, MO, 55-96.
Mishkin, F. S. and E. White, 2002, "U.S. Stock Market Crashes and their Aftermath: Implication for Monetary Policy", NBER Working Paper # 8992.
Nickelsburg, G., 1985, "Small-Sample Properties of Dimensionality Statistics for Fitting VAR Models to Aggregate Economic Data. A Monte Carlo Study", Journal of Econometrics, 28, 183-192.
Ramey, V. A. and M. H. Shapiro, 1997, "Costly Capital Reallocation and the Effects of Government Spending", NBER Working Paper # 6283
Romer C. D., and D. H. Romer, 1989, "Does Monetary Policy Matters? A New Test in the Spirit of Friedman and Schwartz", NBER Macroeconomics Annual 4, 121-70.
Romer C. D., and D. H. Romer, 1994, "Monetary Policy Matters", Journal of Monetary Economics 34, 75-88.
Romer C. D., and D. H. Romer, 2004, "A New Measure of Monetary Shocks: Derivation and Implications" Working Paper, University of California, Berkeley.
Saxton, J., 2003, "Monetary Policy and Asset Prices", Joint Economic Committee, United States Congress, Web: http://www.house.gov/jec/.
Sims, C. A., 1980, "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered", American Economic Review 70, 250-57.
Sims, C., 1992, " Interpreting the Macroeconomic Time Series Facts: The effects of Monetary Policy", European Economic Review, 36, 975-1000.
Strongin, S., 1995, "The Identication of Monetary Policy Disturbances: Explaining the Liquidity Puzzle", Journal of Monetary Economics 35, 463-97.
Weise, C. L., 1996. "Severity of Economic Fluctuations under a Balanced Budget Amendment",Contemporary Economic Policy 14, 26–40.