全球智库信息集成服务系统(G2TT): DP12681 Monetary Policy and Financial Conditions: A Cross-Country Study

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP12681
	DP12681 Monetary Policy and Financial Conditions: A Cross-Country Study
	Tobias Adrian; Fernando Duarte; Federico Grinberg; Tommaso Mancini-Griffoli
发表日期	2018-02-04
出版年	2018
语种	英语
摘要	Loose financial conditions forecast high output growth and low output volatility up to six quarters into the future, generating time varying downside risk to the output gap which we measure by GDP-at-Risk (GaR). This finding is robust across countries, conditioning variables, and time periods. We study the implications for monetary policy in a reduced form New Keynesian model with financial intermediaries that are subject to a Value at Risk (VaR) constraint. Optimal monetary policy depends on the magnitude downside risk to GDP, as it impacts the consumption-savings decision via the Euler constraint, and the financial conditions via the tightness of the VaR constraint. The optimal monetary policy rule exhibits a pronounced response to shifts in financial conditions for most countries in our sample. Welfare gains from taking financial conditions into account are shown to be sizable.
主题	Financial Economics
关键词	monetary policy Financial conditions Financial stability
URL	https://cepr.org/publications/dp12681
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/541493
推荐引用方式 GB/T 7714	Tobias Adrian,Fernando Duarte,Federico Grinberg,et al. DP12681 Monetary Policy and Financial Conditions: A Cross-Country Study. 2018.