Li, Kui-Wai (2012): The US monetary performance prior to the 2008 crisis. Published in: Applied Economics , Vol. 45, No. 24 (2013): pp. 3449-3460.
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This article uses a Structural Vector Autoregressive (SVAR) approach to study the different shocks to the monetary performance in the two decades of the US economy prior to the 2008 financial crisis. By using the Federal Fund Rate as a measure of change in the monetary policy, this study shows that interest rate expectation is informative about the future movement of Federal Fund Rate and the anticipated monetary policy should be one of the crucial reasons in causing monetary and financial deterioration in the US economy. This article discusses a possible conjecture of a low interest rate trap when a persistent and prolonged low interest rate regime led to financial instability.
|Item Type:||MPRA Paper|
|Original Title:||The US monetary performance prior to the 2008 crisis|
|Keywords:||monetary shocks; interest rate; financial crisis|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
O - Economic Development, Innovation, Technological Change, and Growth > O5 - Economywide Country Studies > O51 - U.S. ; Canada
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
|Depositing User:||Kui-Wai Li|
|Date Deposited:||05. Sep 2012 13:58|
|Last Modified:||25. Aug 2015 04:17|
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