Description |
1 online resource (35 pages) : illustrations |
Series |
IMF working paper ; WP/11/228 |
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IMF working paper ; WP/11/228.
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Summary |
This paper builds a model of financial sector vulnerability and integrates it into a macroeconomic framework, typically used for monetary policy analysis. The main question to be answered with the integrated model is whether or not the central bank should include explicitly the financial stability indicator in its monetary policy (interest rate) reaction function. It is found in general, that including distance-to-default (dtd) of the banking system in the central bank reaction function reduces both inflation and output volatility. Moreover, the results are robust to different model calibrations: whenever exchange-rate pass-through is higher; financial vulnerability has a larger impact on the exchange rate, as well as on GDP (or the reverse, there is more effect of GDP on bank's equity - i.e., what we call endogeneity), it is more efficient to include dtd in the reaction function |
Notes |
At head of title: Monetary and Capital Markets Department |
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Title from PDF title page (IMF Web site, viewed October 7, 2011) |
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"September 2011." |
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Available in PDF, ePUB, and Mobi formats on the Internet |
Bibliography |
Includes bibliographical references |
Subject |
Monetary policy -- Chile -- Econometric models
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Banks and banking, Central -- Chile -- Econometric models
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Banks and banking, Central -- Econometric models
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Economic history
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Monetary policy -- Econometric models
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SUBJECT |
Chile -- Economic conditions.
http://id.loc.gov/authorities/subjects/sh85023872
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Subject |
Chile
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Form |
Electronic book
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Author |
Gray, Dale, 1953- author.
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International Monetary Fund. Monetary and Capital Markets Department, issuing body.
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ISBN |
1283556618 |
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9781283556613 |
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1463959281 |
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9781463959289 |
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9781463926489 |
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1463926480 |
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