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What determines the sacrifice ratio? A quantile regression approach

Author

Listed:
  • Thanaset Chevapatrakul

    () (Nottingham University Business School)

  • Juan Paez-farrell

    () (Loughborough University)

Abstract

This paper investigates the determinants of the sacrifice ratio in the OECD economies using a quantile regression framework. We show that the relationship is characterised by asymmetries that standard approaches are unable to capture.

Suggested Citation

  • Thanaset Chevapatrakul & Juan Paez-farrell, 2013. "What determines the sacrifice ratio? A quantile regression approach," Economics Bulletin, AccessEcon, vol. 33(3), pages 1863-1874.
  • Handle: RePEc:ebl:ecbull:eb-13-00462
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I3-P175.pdf
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    References listed on IDEAS

    as
    1. Carlos Eduardo S. Gonçalves & Alexandre Carvalho, 2009. "Inflation Targeting Matters: Evidence from OECD Economies' Sacrifice Ratios," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(1), pages 233-243, February.
    2. Chortareas, Georgios & Stasavage, David & Sterne, Gabriel, 2002. "Monetary Policy Transparency, Inflation and the Sacrifice Ratio," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(2), pages 141-155, April.
    3. Crowe, Christopher & Meade, Ellen E., 2008. "Central bank independence and transparency: Evolution and effectiveness," European Journal of Political Economy, Elsevier, vol. 24(4), pages 763-777, December.
    4. Mazumder, Sandeep, 2014. "Determinants of the sacrifice ratio: Evidence from OECD and non-OECD countries," Economic Modelling, Elsevier, vol. 40(C), pages 117-135.
    5. Andreas Fischer, 1996. "Central bank independence and sacrifice ratios," Open Economies Review, Springer, vol. 7(1), pages 5-18, January.
    6. Ricardo D. Brito, 2010. "Inflation Targeting Does Not Matter: Another Look at OECD Sacrifice Ratios," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1679-1688, December.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Antonio Rubia Serrano & Lidia Sanchis-Marco, 2015. "Measuring Tail-Risk Cross-Country Exposures in the Banking Industry," Working Papers. Serie AD 2015-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

    More about this item

    Keywords

    Sacrifice ratio; quantile regression; OECD; asymmetries;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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