We examine whether and how selected central banks responded to episodes of financial stress over the last three decades. We employ a new monetary-policy rule estimation methodology which allows for time-varying response coefficients and corrects for endogeneity. This flexible framework applied...

We examine the evolution of monetary policy rules in a group of inflation targeting countries (Australia, Canada, New Zealand, Sweden and the United Kingdom) applying moment-based estimator at time-varying parameter model with endogenous regressors. Using this novel flexible framework, our main...

We examine whether and how main central banks responded to episodes of financial stress over the last three decades.Time-varying parameter model with endogenous regressorsQuantify the time-varying effect of financial stress (and its components) on interest rate setting.