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- handle: 10670/1.sxi1m0
- hal: hal-03399269
- doi: 10.1016/j.jfs.2014.12.003
- SCIENCESPO: 2441/114p6m6s0395gqm0es4g7kgv3u
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jfs.2014.12.003
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/hdl/2441/114p6m6s0395gqm0es4g7kgv3u
Mots-clés
Price stability Financial stability DCC-GARCH VAR C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E31 - Price Level • Inflation • Deflation E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary PolicySujets proches
Monetary managementCiter ce document
Christophe Blot et al., « Assessing the link between price and financial stability », Archive ouverte de Sciences Po (SPIRE), ID : 10.1016/j.jfs.2014.12.003
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Résumé
This paper aims at investigating first, the (possibly time-varying) empirical relationship between price and financial stability, and second, the effects of some 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 and VAR and Dynamic Conditional Correlations, we reject the hypotheses that price stability is positively correlated with financial stability and that the correlation is stable over time. The latter result and the analysis of the determinants of the link between price stability and financial stability cast some doubt on the appropriateness of the “leaning against the wind” monetary policy approach.