Caglayan, M., Kocaaslan, O.K. and Mouratidis, K. (2017) Financial Depth and the Asymmetric Impact of Monetary Policy. Oxford Bulletin of Economics and Statistics, 79 (6). pp. 1195-1218. ISSN 0305-9049
Abstract
This paper investigates the importance of financial depth in evaluating the asymmetric impact of monetary policy on real output over the course of the US business cycle. We show that monetary policy has a significant impact on output growth during recessions. We also show that financial deepening plays an important role by dampening the effects of monetary policy shocks in recessions. The results are robust to the use of alternative financial depth and monetary policy shock measures as well as to two different sample periods.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2017 The Department of Economics, University of Oxford and John Wiley & Sons Ltd. This is an author produced version of a paper subsequently published in Oxford Bulletin of Economics and Statistics. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Financial depth; financial frictions; monetary policy; output growth; asymmetric effects; Markov switching; instrumental variable. |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 02 Aug 2016 13:21 |
Last Modified: | 07 Jun 2023 11:51 |
Published Version: | https://doi.org/10.1111/obes.12160 |
Status: | Published |
Publisher: | Wiley |
Refereed: | Yes |
Identification Number: | 10.1111/obes.12160 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:103222 |