Nonlinear monetary policy in Europe: fact or myth?
AbstractWe hold the fort for linear specification of monetary policy and economic activity in Europe. Using data on the last two and a half decades we cannot reject the hypothesis that monetary policy is a linear process and we find mixed results regarding economic activity.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 86 (2005)
Issue (Month): 3 (March)
Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- W.A. Bruinshoofd & B. Candelon, 2004. "Nonlinear monetary policy in europe: fact or myth?," WO Research Memoranda (discontinued) 758, Netherlands Central Bank, Research Department.
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dufrenot, Gilles & Mignon, Valerie & Peguin-Feissolle, Anne, 2004. "Business cycles asymmetry and monetary policy: a further investigation using MRSTAR models," Economic Modelling, Elsevier, vol. 21(1), pages 37-71, January.
- Ricardo J. Caballero & Eduardo M.R.A. Engel, 1991.
"Heterogeneity and Output Fluctuations in a Dynamic Menu-Cost Economy,"
NBER Working Papers
3729, National Bureau of Economic Research, Inc.
- Caballero, Ricardo J & Engel, Eduardo M R A, 1993. "Heterogeneity and Output Fluctuations in a Dynamic Menu-Cost Economy," Review of Economic Studies, Wiley Blackwell, vol. 60(1), pages 95-119, January.
- Caballero, R. & Engel, E.M.R.A., 1991. "Heterogeneity and Output Fluctuations in a Dynamic Menu-Cost Economy," Discussion Papers 1991_16, Columbia University, Department of Economics.
- Caballero, R.J. & Engel, E.M.R.A., 1989. "Heterogeneity And Output Fluctuations In A Dynamic Menu Cost Economy," Discussion Papers 1989_40, Columbia University, Department of Economics.
- Anderson, H.M. & Vahid, F., 2000.
"Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models,"
Monash Econometrics and Business Statistics Working Papers
3/00, Monash University, Department of Econometrics and Business Statistics.
- Anderson, Heather M. & Vahid, Farshid, 2001. "Predicting The Probability Of A Recession With Nonlinear Autoregressive Leading-Indicator Models," Macroeconomic Dynamics, Cambridge University Press, vol. 5(04), pages 482-505, September.
- Kakes, Jan, 1998. "Monetary transmission and business cycle asymmetry," Research Report 98C36, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Rhee, Wooheon & Rich, Robert W., 1995. "Inflation and the asymmetric effects of money on output fluctuations," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 683-702.
- Caplin, Andrew & Leahy, John, 1991.
"State-Dependent Pricing and the Dynamics of Money and Output,"
The Quarterly Journal of Economics,
MIT Press, vol. 106(3), pages 683-708, August.
- Caplin, A. & Leahy, J., 1989. "State-Dependent Pricing And The Dynamics Of Money And Output," Discussion Papers 1989_32, Columbia University, Department of Economics.
- repec:cup:macdyn:v:5:y:2001:i:4:p:482-505 is not listed on IDEAS
- Karras, Georgios, 1996. "Why are the effects of money-supply shocks asymmetric? Convex aggregate supply or "pushing on a string"?," Journal of Macroeconomics, Elsevier, vol. 18(4), pages 605-619.
- Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, vol. 107(4), pages 1261-82, November.
- Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993.
"Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests,"
Journal of Econometrics,
Elsevier, vol. 56(3), pages 269-290, April.
- Tom Doan, . "REGWHITENNTEST: RATS procedure to perform White neural network test on regression," Statistical Software Components RTS00183, Boston College Department of Economics.
- Tom Doan, . "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- D H Kim & D R Osborn & M Sensier, 2002.
"Nonlinearity in the Fed's Monetary Policy Rule,"
The School of Economics Discussion Paper Series
0205, Economics, The University of Manchester.
- Kim, Dong Heon & Denise R Osborn & Marianne Sensier, 2003. "Nonlinearity in the Fed's Monetary Policy Rule," Royal Economic Society Annual Conference 2003 121, Royal Economic Society.
- D H Kim & D R Osborn & M Sensier, 2002. "Nonlinearity in the Fed's Monetary Policy Rule," Centre for Growth and Business Cycle Research Discussion Paper Series 18, Economics, The Univeristy of Manchester.
- Bennett T. McCallum, 1994.
"Monetary Policy and the Term Structure of Interest Rates,"
NBER Working Papers
4938, National Bureau of Economic Research, Inc.
- Bennett T. McCallum, 2005. "Monetary policy and the term structure of interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 1-21.
- Bec Frédérique & Ben Salem Mélika & Collard Fabrice, 2002. "Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(2), pages 1-22, July.
- Ball, L. & Mankiw, N.G., 1992.
"Asymmetric Price Adjustment and Economic Fluctuations,"
Harvard Institute of Economic Research Working Papers
1602, Harvard - Institute of Economic Research.
- Ball, Laurence & Mankiw, N Gregory, 1994. "Asymmetric Price Adjustment and Economic Fluctuations," Economic Journal, Royal Economic Society, vol. 104(423), pages 247-61, March.
- Laurence Ball & N. Gregory Mankiw, 1994. "Asymmetric Price Adjustment and Economic Fluctuations," NBER Working Papers 4089, National Bureau of Economic Research, Inc.
- Cukierman, A., 1999. "The Inflation Bias Result Revisited," Papers 38-99, Tel Aviv.
- Peersman, Gert & Smets, Frank, 2001. "Are the effects of monetary policy in the euro area greater in recessions than in booms?," Working Paper Series 0052, European Central Bank.
- M Sensier & D R Osborn & N Öcal, 2002.
"Asymmetric Interest Rate Effects for the UK Real Economy,"
Centre for Growth and Business Cycle Research Discussion Paper Series
10, Economics, The Univeristy of Manchester.
- Sensier, Marianne & Osborn, Denise R & Ocal, Nadir, 2002. " Asymmetric Interest Rate Effects for the UK Real Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(4), pages 315-39, September.
- Karras, Georgios, 1996. "Are the Output Effects of Monetary Policy Asymmetric? Evidence from a Sample of European Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(2), pages 267-78, May.
- Tom Engsted & Ken Nyholm, 2000. "Regime shifts in the Danish term structure of interest rates," Empirical Economics, Springer, vol. 25(1), pages 1-13.
- Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
- Dolado, Juan J. & María-Dolores, Ramón & Naveira Barrero, Manuel, 2000. "Asymmetries In Monetary Policy Rules: Evidence For Four Central Banks," CEPR Discussion Papers 2441, C.E.P.R. Discussion Papers.
- Wai Ching Poon, 2010. "Augmented MCi: AN Indicator Of Monetary Policy Stance For ASEAN-5?," Monash Economics Working Papers 25-10, Monash University, Department of Economics.
- Manuel M F Martins & Alvaro Aguiar, 2005.
"Testing for Asymmetries in the Preferences of the Euro-Area Monetary Policymaker,"
Money Macro and Finance (MMF) Research Group Conference 2005
41, Money Macro and Finance Research Group.
- Alvaro Aguiar & Manuel Martins, 2008. "Testing for asymmetries in the preferences of the euro-area monetary policymaker," Applied Economics, Taylor & Francis Journals, vol. 40(13), pages 1651-1667.
- Alvaro Aguiar & Manuel M. F. Martins, 2005. "Testing for Asymmetries in the Preferences of the Euro-Area Monetary Policymaker," FEP Working Papers 182, Universidade do Porto, Faculdade de Economia do Porto.
- Lee, Junsoo & Strazicich, Mark C. & Yu, Byung Chul, 2013. "Asymmetric adjustments in the spread of lending and deposit rates: Evidence from extended threshold unit root tests," Review of Financial Economics, Elsevier, vol. 22(4), pages 187-193.
- Kulaksizoglu, Tamer & Kulaksizoglu, Sebnem, 2009. "The U.S. Excess Money Growth and Inflation Relation in the Long-Run: A Nonlinear Analysis," MPRA Paper 23780, University Library of Munich, Germany.
- Doyle, Matthew & Falk, Barry L., 2006.
"Do Asymmetric Central Bank Preferences Help Explain Observed Inflation Outcomes?,"
Staff General Research Papers
12501, Iowa State University, Department of Economics.
- Doyle, Matthew & Falk, Barry, 2010. "Do asymmetric central bank preferences help explain observed inflation outcomes?," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 527-540, June.
- Matthew Doyle & Barry Falk, 2009. "Do Asymmetric Central Bank Preferences Help Explain Observed Inflation Outcomes?," Working Papers 0902, University of Waterloo, Department of Economics, revised Feb 2009.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.