Conventional Monetary Policy Transmission During Financial Crises: An Empirical Analysis
通过引入平滑转换因子模型，研究美国在高金融压力时期常规货币政策冲击的效果，发现其对产出、消费和投资的影响比正常时期更强且更持久，这种差异源于信贷渠道的非线性。
Summary This paper studies the effects of a conventional monetary policy shock in the USA during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (‘normal’ and high financial stress) depends on a financial conditions index. Employing a quarterly dataset over the period 1970:Q1 to 2008:Q4 containing 108 US macroeconomic and financial time series, I find that a monetary policy shock during periods of high financial stress has stronger and more persistent effects on macroeconomic variables such as output, consumption and investment than it has during ‘normal’ times. Differences in effects among the regimes seem to originate from nonlinearities in both components of the credit channel, i.e. the balance sheet channel and the bank‐lending channel. Copyright © 2016 John Wiley & Sons, Ltd.