Asymmetric effects of monetary policy shocks on financial stability

George N. Apostolakis and Nikolaos Giannellis ()

The Journal of Economic Asymmetries, 2024, vol. 30, issue C

Abstract: This study investigates the asymmetric effects of interest rate innovations on financial stress during times of conventional and unconventional monetary policy. We employ the methodology of Kilian and Vigfusson (2011) to examine the possible asymmetries between different monetary policy stances of the Fed and the ECB. The period under examination spans from 1999 to 2023, when the two central banks were active in conducting quantitative easing (QE) operations. The evidence reveals that the effects of implementing a contractionary or an expansionary monetary policy on financial stress are sign- and size-specific.

Keywords: FSI; CISS; Financial stability; Shadow rates; UMP; COVID-19; Asymmetries; Net increase; VAR; Nonlinear; US; Eurozone; Zero lower bound (search for similar items in EconPapers)
JEL-codes: C32 E47 E52 E58 G10 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:30:y:2024:i:c:s170349492400029x

DOI: 10.1016/j.jeca.2024.e00380

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