The effect of investors' confidence on monetary policy- economic growth relationship: a Multivariate GARCH approach

Ege Yazgan

BIFEC Book of Abstracts & Proceedings, 2014, vol. 1, issue 2, 82-109

Abstract: The financial stability's effects on the monetary policy transmission mechanisms are investigated. Specifically, the heteroskedasticity of the errors is exploited, in a MGARCH, to obtain endogenously estimated measures of uncertainty. A two steps estimator of a Multivariate GARCH-in-mean model highlights the indirect effects of monetary growth on financial markets at different time horizons. The estimates, although preliminary in line with who views the "Great Moderation" as the main cause of the financial crises, lead to reversed results once avoided spurious regression problems, accounting for permanent changes in the monetary policy (structural breaks in the variances ‘series).

Keywords: Financial Stability; PEG; Monetary Policy; Uncertainty; Multivariate GARCH-in-mean. (search for similar items in EconPapers)
JEL-codes: E44 E52 G12 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:bor:bifeca:v:1:y:2014:i:2:p:82-109

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