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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
Network(s)
View your Discussion Paper
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.