This paper investigates the financial stability's effect on the monetary policy transmission mechanisms. The correlations between investors' confidence in the markets, money growth and economic growth are analyzed along with the correlations within their volatilities. Specifically, the heteroskedasticity of the errors is exploited in a Multivariate GARCH framework to obtain endogenously estimated measures of uncertainty. By a two-step estimator, the indirect interplay of money growth and financial markets is highlighted at different time horizons. The results contrast previous literature supportive of the "Great Moderation" as causing the recent financial crisis. Effectively, by accounting for the breaks in volatility series due to structural shifts in monetary policy, a low period of macroeconomic volatility is found not to drive directly low financial stability.
Scheda prodotto non validato
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo
|Titolo:||The effect of investors' confidence on monetary policy transmission mechanism. A Multivariate GARCH approach|
|Data di pubblicazione:||2016|
|Appare nelle tipologie:||01.1 - Articolo su rivista (Article)|