2015
DOI: 10.1016/j.jbankfin.2013.11.016
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Risk management, nonlinearity and aggressiveness in monetary policy: The case of the US Fed

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Cited by 15 publications
(23 citation statements)
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“…Moving to the estimated policy rule, we …nd that the uncertainty regime is associated with a weaker response to in ‡ation, a more aggressive response to output growth, and a lower degree of interest rate smoothing. This result squares well with the …ndings recently documented by Gnabo and Moccero (2015). They estimate a Taylor rule with real time data in which the policy parameters are allowed to take di¤erent values depending on the level of risk associated with the in ‡ation outlook and the evolution of …nancial markets.…”
Section: Regime-speci…c Estimation Resultssupporting
confidence: 85%
“…Moving to the estimated policy rule, we …nd that the uncertainty regime is associated with a weaker response to in ‡ation, a more aggressive response to output growth, and a lower degree of interest rate smoothing. This result squares well with the …ndings recently documented by Gnabo and Moccero (2015). They estimate a Taylor rule with real time data in which the policy parameters are allowed to take di¤erent values depending on the level of risk associated with the in ‡ation outlook and the evolution of …nancial markets.…”
Section: Regime-speci…c Estimation Resultssupporting
confidence: 85%
“…Gilchrist and Zakrajšek (2012) Bekaert, Hoerova, and Lo Duca (2013) find weak evidence that positive innovations to VXO lead to looser policy. Gnabo and Moccero (2015) find that policy responds more aggressively to economic conditions and is less inertial in periods of high uncertainty as measured by VXO.…”
Section: Iiib Proxies For Risk Managementmentioning
confidence: 85%
“…49. There is a large literature that examines nonlinearities in policy reaction functions (see Gnabo and Moccero [2015], Mumtaz and Surico [2015], and Tenreyro and Thwaites [2015] for reviews of this literature and recent estimates), but surprisingly little work that speaks directly to risk management. We discuss the related literature below.…”
Section: Econometric Evidence Of Risk Managementmentioning
confidence: 99%