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

Vitor Castro () and Ricardo Magalhães Sousa ()

Economic Modelling, 2012, vol. 29, issue 3, pages 641-653

Abstract: 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.

Keywords: Monetary policy rules; Wealth composition; Asset prices (search for similar items in EconPapers)
JEL-codes: E37 E52 (search for similar items in EconPapers)
Date: 2012
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Related works:
Working Paper: How Do Central Banks React to Wealth Composition and Asset Prices? (2010)
Working Paper: How Do Central Banks React to Wealth Composition and Asset Prices? (2010)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:3:p:641-653

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