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Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model Author info | Abstract | Publisher info | Download info | Related research | Statistics Lo, Ming Chien
Piger, Jeremy
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This paper investigates regime switching in the response of U.S. output to a monetary policy action. We find substantial, statistically significant, time variation in this response that corresponds to "high response" and "low response" regimes. We then investigate whether the timing of the regime shifts are consistent with three particular manifestations of asymmetry by modeling the transition probabilities governing the switching process as functions of state variables. We find strong evidence that policy actions taken during recessions have larger effects than those taken during expansions. We find less evidence of asymmetry related to the direction or size of the policy action.
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Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking .
Volume (Year): 37 (2005)
Issue (Month): 5 (October)
Pages: 865-86
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Handle: RePEc:mcb:jmoncb:v:37:y:2005:i:5:p:865-86Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
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