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ECB repo rate setting during the financial crisis

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  • Gerlach, Stefan

Abstract

I estimate a reaction function for the ECB using an ordered logit model for the period 1999-2009. Allowing for a smooth transition from one set of parameters to another, I detect a rapid change in the middle of 2008.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 112 (2011)
Issue (Month): 2 (August)
Pages: 186-188

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Handle: RePEc:eee:ecolet:v:112:y:2011:i:2:p:186-188

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Web page: http://www.elsevier.com/locate/ecolet

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Keywords: ECB Reaction functions Ordered logit Smooth transition;

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References

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  1. N. Gregory Mankiw & Jeffrey A. Miron & David N. Weil, 1987. "The Adjustment of Expectations to a Change in Regime: A Study of the Founding of the Federal Reserve," NBER Working Papers 2124, National Bureau of Economic Research, Inc.
  2. Svensson, Lars E. O., 1997. "Inflation forecast targeting: Implementing and monitoring inflation targets," European Economic Review, Elsevier, Elsevier, vol. 41(6), pages 1111-1146, June.
  3. Athanasios Orphanides & Volker Wieland, 1999. "Efficient monetary policy design near price stability," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1999-67, Board of Governors of the Federal Reserve System (U.S.).
  4. David Reifschneider & John C. Williams, 1999. "Three lessons for monetary policy in a low inflation era," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1999-44, Board of Governors of the Federal Reserve System (U.S.).
  5. Stefan Gerlach, 2007. "Interest Rate Setting by the ECB, 1999-2006: Words and Deeds," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 1-46, September.
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Cited by:
  1. Konstantin Kiesel & Maik Wolters, 2014. "Estimating monetary policy rules when the zero lower bound on nominal interest rates is approached," Kiel Working Papers 1898, Kiel Institute for the World Economy.
  2. Stefan Gerlach & John Lewis, 2014. "Zero lower bound, ECB interest rate policy and the financial crisis," Empirical Economics, Springer, Springer, vol. 46(3), pages 865-886, May.
  3. Ansgar Belke & Jens Klose, 2012. "Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound – Evidence for the ECB and the Fed," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0343, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  4. Belke, Ansgar & Klose, Jens, 2013. "Modifying Taylor reaction functions in the presence of the zero‐lower‐bound — Evidence for the ECB and the Fed," Economic Modelling, Elsevier, vol. 35(C), pages 515-527.

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