We investigate the response of the central bank to the change in size of non-bank financial intermediaries. Using quarterly data for the U.S. over the period 1946:Q1-2016Q4, we find that when faced with an increase in the asset growth of the securities' brokers and dealers and the shadow banking sector, the monetary authority reacts by raising the short-term nominal interest rate. This response is stronger in the case of sharp variation in the size of the balance sheet of non-bank financial intermediaries. From a policy perspective, our study suggests that an extended version of the original Taylor rule - embedding both price stability and financial stability concerns –provides a good characterisation of the monetary policy reaction function.
Agnello L., Castro V., Jawadi F., & Sousa R.M. (2020). How does monetary policy respond to the dynamics of the shadow banking sector?. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 25(2), 228-247.
Data di pubblicazione: | 2020 |
Titolo: | How does monetary policy respond to the dynamics of the shadow banking sector? |
Autori: | |
Citazione: | Agnello L., Castro V., Jawadi F., & Sousa R.M. (2020). How does monetary policy respond to the dynamics of the shadow banking sector?. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 25(2), 228-247. |
Rivista: | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1002/ijfe.1748 |
Abstract: | We investigate the response of the central bank to the change in size of non-bank financial intermediaries. Using quarterly data for the U.S. over the period 1946:Q1-2016Q4, we find that when faced with an increase in the asset growth of the securities' brokers and dealers and the shadow banking sector, the monetary authority reacts by raising the short-term nominal interest rate. This response is stronger in the case of sharp variation in the size of the balance sheet of non-bank financial intermediaries. From a policy perspective, our study suggests that an extended version of the original Taylor rule - embedding both price stability and financial stability concerns –provides a good characterisation of the monetary policy reaction function. |
URL: | http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1099-1158 |
Settore Scientifico Disciplinare: | Settore SECS-P/02 Politica Economica |
Appare nelle tipologie: | 1.01 Articolo in rivista |
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