The macroeconomic effects of monetary policy and financial crisis

Douch, Mohamed (2005): The macroeconomic effects of monetary policy and financial crisis.

Abstract

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
• Institution: RMC
• Language: English
• 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

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