DP8346 ECB Repo Rate Setting During the Financial Crisis

Author(s): Stefan Gerlach
Publication Date: April 2011
Keyword(s): ECB, Ordered logit, Reaction functions, Smooth transition
JEL(s): C2, E52
Programme Areas: International Macroeconomics
Link to this Page: www.cepr.org/active/publications/discussion_papers/dp.php?dpno=8346

I estimate a reaction function for the ECB using an ordered logit model for the period 1999-2009. Allowing for a smooth transition from one set of parameters to another, I detect a rapid change in middle of 2008.