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 [10.1002/ijfe.1748].

How does monetary policy respond to the dynamics of the shadow banking sector?

Agnello L.;
2020-01-01

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.
Settore SECS-P/02 Politica Economica
http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1099-1158
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 [10.1002/ijfe.1748].
File in questo prodotto:
File Dimensione Formato  
LA_VC_FJ_RMS_IJFE.pdf

Solo gestori archvio

Descrizione: Versione finale accettata dall’editore per la pubblicazione ma ancora con il layout dell’autore.
Tipologia: Post-print
Dimensione 709.18 kB
Formato Adobe PDF
709.18 kB Adobe PDF   Visualizza/Apri   Richiedi una copia
Agnello_et_al-2019-International_Journal_of_Finance_&_Economics.pdf

Solo gestori archvio

Descrizione: Ahead of print
Tipologia: Versione Editoriale
Dimensione 2.72 MB
Formato Adobe PDF
2.72 MB Adobe PDF   Visualizza/Apri   Richiedi una copia
ijfe.1748.pdf

Solo gestori archvio

Tipologia: Versione Editoriale
Dimensione 2.04 MB
Formato Adobe PDF
2.04 MB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/388048
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 2
social impact