Monetary Policy Transmission during Financial Crises: An Empirical Analysis
作者： Tatjana Dahlhaus
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摘要: This paper studies the effects of a monetary policy expansion in U.S. during times financial crises. The analysis is carried out by introducing Smooth Transition Factor Model where transition between states (“normal” and crises) depends on condition index. model estimated using Bayesian MCMC methods. Employing quarterly dataset over period 1970Q1-2009Q2 containing 108 macroeconomic time series, I find that crises has stronger more persistent variables, such as output, consumption, investment than “normal” times. Differences among regimes seem to originate from non-linearities credit channel.
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