The macroeconomic effects of monetary policy and financial crisis

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The macroeconomic effects of monetary policy and financial crisis

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Douch, Mohamed

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Mohamed Douch

Abstract

In this paper we focus on postwar US data and incorporate new nancial measures and monetary policy shocks in a vector autoregression (VAR) system in order to test whether one or the other has any real effect on the economy. We nd econometric evidence that these shocks and events are exogenous, and therefore the exogenous nature of shocks to monetary policy and stock market crashes investigated in this study may help policymakers, especially regarding debates related to eventual relationships between optimal monetary policy and nancial stability.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1120.

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Date of creation: 01 May 2005
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Handle: RePEc:pra:mprapa:1120

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Find related papers by JEL classification:
E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
G1 - Financial Economics - - General Financial Markets

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-01-14 (All new papers)
NEP-MAC-2007-01-14 (Macroeconomics)
NEP-MON-2007-01-14 (Monetary Economics)

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Other versions:
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Gordon, David B & Leeper, Eric M, 1994. "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-47, December. [Downloadable!] (restricted)
Other versions:
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Other versions:
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Other versions:
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