DP8346 | ECB Repo Rate Setting During the Financial Crisis

Author(s)

Stefan Gerlach

Publication Date

01/04/2011

JEL Code(s)

  • C2, E52

Keyword(s)

  • ECB, ordered logit, Reaction functions, Smooth transition

Programme Area(s)

  • International Macroeconomics

Abstract

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.