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

Vitor Castro and Ricardo Sousa

Economic Modelling, 2012, vol. 29, issue 3, 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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999312000119
Full text for ScienceDirect subscribers only

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:3:p:641-653

DOI: 10.1016/j.econmod.2012.01.006

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).