Zaghini, Andrea and Bencivelli, Lorenzo (2012): Financial innovation, macroeconomic volatility and the great moderation. Forthcoming in: modern economy , Vol. 3, No. 5 (2012)
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In the paper we propose an assessment of the role of financial innovation in shaping US macroeconomic dynamics. We extend an existing model by Christiano, Eichenbaum and Evans which studied the transmission of monetary policy impulses to business and corporate sector financing variables just before the Great Moderation period. By investigating the properties of the model over a longer time span we show that in the later period a change in the monetary policy transmission mechanism is likely to have occurred. In particular, we argue that the role of financial innovation has significantly altered the transmission of shocks
|Item Type:||MPRA Paper|
|Original Title:||Financial innovation, macroeconomic volatility and the great moderation|
|Keywords:||Great Moderation; Monetary policy; Financial Innovation|
|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
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
|Depositing User:||andrea zaghini|
|Date Deposited:||12. Sep 2012 13:04|
|Last Modified:||22. Aug 2015 02:39|
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