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How do central banks react to wealth composition and asset prices?

  • Castro, Vítor
  • Sousa, Ricardo M.

We assess the response of monetary policy to developments in asset markets in the euro area, the US and the UK. We estimate the reaction of monetary policy to wealth composition and asset prices using: (i) a linear framework based on a fully simultaneous system approach in a Bayesian environment; and (ii) a nonlinear specification that relies on a smooth transition regression model.

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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 29 (2012)
Issue (Month): 3 ()
Pages: 641-653

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Handle: RePEc:eee:ecmode:v:29:y:2012:i:3:p:641-653
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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