Discussion paper

DP8346 ECB Repo Rate Setting During the Financial Crisis

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.

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Citation

Gerlach, S (2011), ‘DP8346 ECB Repo Rate Setting During the Financial Crisis‘, CEPR Discussion Paper No. 8346. CEPR Press, Paris & London. https://cepr.org/publications/dp8346