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Research background: Taylor rule is a widely adopted approach to follow monetary policy and investigate various mechanisms related to or triggered by monetary policy. To date, no in-depth examination of scale, determinants and spillovers of state-level monetary policy stress, stemming from the Federal Reserve Board?s (Fed?s) policy has been performed. Purpose of the article: This paper aims to investigate the nature of monetary policy stress on US States delivered by the single monetary policy by using a quarterly dataset spanning the years between 1989 and 2017. Methods: We apply a wide array of time series and panel regressions, such as unit root tests, co-integration tests, co-integrating FMOLS and DOLS regressions, and Spatial Panel SAR and SEM models. Findings & value added: When average stress imposed on states is calculated, it is observed that the level of stress is moderate, but the distribution across states is asymmetric. The cross-state determinants behind the average stress show that states with a higher percentage of working-age and highly educated population, as well as those with higher population density and more export-oriented are negatively stressed (i.e. they experience excessively low interest rates), whereas higher unemployment rate contributes to a positive stress (too high interest rates). To the best of our knowledge, the contribution of this paper lies in estimating monetary policy stress at the state level and unveiling some of the determinants of this stress. Moreover, the paper makes the first attempt to empirically test spatial spillovers of the stress, which are indeed found significant and negative.(original abstract)
Twórcy
autor
- Izmir Institute of Technology, Turkey
autor
- University of Lodz, Poland
Bibliografia
- Aastveit, K. A., & Anundsen, A. K. (2022). Asymmetric effects of monetary policy in regional housing markets. American Economic Journal: Macroeconomics, 14(4), 499-529. doi: 10.1257/mac.20190011.
- Aguiar-Conraria, L., Martins, M. M., & Soares, M. J. (2018). Estimating the Taylor rule in the time-frequency domain. Journal of Macroeconomics, 57, 122-137. doi: 10.1016/j.jmacro.2018.05.008.
- Akaike, H. (1973). Information theory and an extension of the maximum likeli-hood principle. In B. N. Petrov & F. Csáki (Eds.). 2nd international symposium on information theory, Tsahkadsor, Armenia, USSR, September 2-8, 1971 (pp. 267-281). Budapest: Akadémiai Kiadó. Republished in S. Kotz & N. L. Johnson (Eds.). (1992). Breakthroughs in statistics, vol. I (pp. 610?624). Springer-Verlag.
- Albuquerque, B. (2019). One size fits all? Monetary policy and asymmetric house-hold debt cycles in US states. Journal of Money, Credit and Banking, 51(5), 1309-1353. doi: 10.1111/jmcb.12547.
- Albuquerque, P. C., Caiado, J., & Pereira, A. (2020). Population aging and inflation: Evidence from panel cointegration. Journal of Applied Economics, 23(1), 469-484. doi: 10.1080/15140326.2020.1795518.
- Almgren, M., Gallegos, J. E., Kramer, J., & Lima, R. (2022). Monetary policy and liquidity constraints: Evidence from the euro area. American Economic Journal: Macroeconomics, 14(4), 309?340. doi: 10.1257/mac.20200096.
- Anselin, L. (1980). Estimation methods for spatial autoregressive structures. Regional science dissertation and monograph series
Typ dokumentu
Bibliografia
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bwmeta1.element.ekon-element-000171671434