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EnglishWe 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. (2019). How does monetary policy respond to the dynamics of the shadow banking sector?. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 1-20.
| Data di pubblicazione: | 2019 |
| 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. (2019). How does monetary policy respond to the dynamics of the shadow banking sector?. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 1-20. |
| 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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| LA_VC_FJ_RMS_IJFE.pdf | Versione finale accettata dall’editore per la pubblicazione ma ancora con il layout dell’autore. | Post-print | Administrator Richiedi una copia | |
| Agnello_et_al-2019-International_Journal_of_Finance_&_Economics.pdf | Versione Editoriale | Administrator Richiedi una copia |
http://hdl.handle.net/10447/388048
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