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: | 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.