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Assessing the link between price and financial stability

Christophe Blot (christophe.blot@sciencespo.fr), Jerome Creel, Paul Hubert, Fabien Labondance and Francesco Saraceno

No 2014-02, Documents de Travail de l'OFCE from Observatoire Francais des Conjonctures Economiques (OFCE)

Abstract: This paper aims at investigating first the (possibly time-varying) empirical relationship between the level and conditional variances of price and financial stability, and second, the effects of macro and policy variables on this relationship in the United States and the Eurozone. Three empirical methods are used to examine the relevance of A.J Schwartz’s conventional wisdom that price stability would yield financial stability. Using simple correlations, VAR and Dynamic Conditional Correlations, we reject the hypothesis that price stability is positively correlated to financial stability. We then discuss the empirical appropriateness of the leaning against the wind monetary policy approach.

Keywords: Price stability; Financial stability; DCC-GARCH; VAR (search for similar items in EconPapers)
JEL-codes: C32 E31 E44 E52 (search for similar items in EconPapers)
Date: 2014-02
New Economics Papers: this item is included in nep-eec, nep-mac, nep-mon and nep-sog
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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http://www.ofce.sciences-po.fr/pdf/dtravail/WP2014-02.pdf (application/pdf)

Related works:
Journal Article: Assessing the link between price and financial stability (2015) Downloads
Working Paper: Assessing the link between price and financial stability (2015)
Working Paper: Assessing the link between price and financial stability (2015)
Working Paper: Assessing the link between Price and Financial Stability (2014) Downloads
Working Paper: Assessing the link between Price and Financial Stability (2014) Downloads
Working Paper: Assessing the Link between Price and Financial Stability (2013) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:fce:doctra:1402

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