Taylor rules and liquidity in financial markets (notice n° 546405)
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|---|---|
| fixed length control field | 01399cam a2200217 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121114050.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Franceschi, Emanuele |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Taylor rules and liquidity in financial markets |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2020.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 66 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | We revisit the US monetary policy history in the framework of a Taylor rule, using real-time data and market information. We find significant instability in the parameters of the Federal Reserve Bank reaction function to output gap and expected inflation. Motivated by the global financial crisis and the growing attention to financial markets, we study the role of liquidity in the interest rate rule. We estimate Markov switching models and find compliance to the Taylor principle during the high inflation period for a standard Taylor rule and consistent violations of the Taylor principle once we include proxies for liquidity. Such violations are not associated to periods of unanchored inflation. JEL Codes: E31, E44, E58. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | trading activities |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | systemic risk |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | prudential regulation |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | retail banks |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | European banking union |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Revue économique | 72 | 1 | 2020-12-21 | p. 103-134 | 0035-2764 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-revue-economique-2021-1-page-103?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-revue-economique-2021-1-page-103?lang=en&redirect-ssocas=7080</a> |
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