Assessing the link between Price and Financial Stability

Abstract : This paper aims at investigating first the (possibly time-varying) empirical relationship between the level and conditional variances of price and financial stability, and second, the effects of macro and policy variables on this relationship in the United States and the Eurozone. Three empirical methods are used to examine the relevance of A.J. Schwartz's "conventional wisdom" that price stability would yield financial stability. Using simple correlations, VAR and Dynamic Conditional Correlations, we reject the hypothesis that price stability is positively correlated to financial stability. We then discuss the empirical appropriateness of the "leaning against the wind" monetary policy approach.
Type de document :
Pré-publication, Document de travail
Liste complète des métadonnées

Littérature citée [27 références]  Voir  Masquer  Télécharger

https://hal-sciencespo.archives-ouvertes.fr/hal-01070529
Contributeur : Spire Sciences Po Institutional Repository <>
Soumis le : mercredi 1 octobre 2014 - 15:38:20
Dernière modification le : lundi 17 juin 2019 - 18:26:09
Document(s) archivé(s) le : vendredi 2 janvier 2015 - 11:15:12

Fichier

wp2014-02.pdf
Accord explicite pour ce dépôt

Identifiants

Collections

Citation

Christophe Blot, Jérôme Creel, Paul Hubert, Fabien Labondance, Francesco Saraceno. Assessing the link between Price and Financial Stability. 2014. ⟨hal-01070529⟩

Partager

Métriques

Consultations de la notice

263

Téléchargements de fichiers

950