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Do monetary Shocks Exert Nonlinear Real Effects on UK Industrial Production?

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Author Info

  • Holmes, Mark J.

    ()
    (Department of Economics Waikato Management School University of Waikato)

  • Wang, Ping

    ()
    (Department of Economics Washington University)

Abstract

This study investigates whether or not UK industrial production is characterised by a nonlinear response to monetary shocks. Our methodology is based on logistic smooth transition vector autoregression modelling where we employ monthly data for the period January 1960 to August 1999. We find evidence of small, though nonetheless significant nonlinearities. Our evidence is consistent with a range of New Keynesian arguments insofar as greater price flexibility, and therefore less real adjustment, occurs against a background of high inflation. In addition, the potency of monetary shocks can depend on the position of the UK economy in the business cycle. Key Words: . JEL Classification:

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Bibliographic Info

Article provided by Camera di Commercio di Genova in its journal Economia Internazionale / International Economics.

Volume (Year): 55 (2002)
Issue (Month): 3 ()
Pages: 351-364

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Handle: RePEc:ris:ecoint:0182

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Keywords: Nonlinear; monetary shocks; UK output;

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Cited by:
  1. Guo, Feng & Hu, Jinyan & Jiang, Mingming, 2013. "Monetary shocks and asymmetric effects in an emerging stock market: The case of China," Economic Modelling, Elsevier, Elsevier, vol. 32(C), pages 532-538.
  2. Marina Tkalec, 2013. "The Dynamics of Deposit Euroization in European Post-Transition Countries: Evidence from Threshold VAR," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 66-83.
  3. Saki Bigio & Jorge Salas, 2006. "Non-Linear Effects of Monetary Policy and Real Exchange Rate Shocks in Partially Dollarized Economies: An Empirical Study for Peru," Working Papers, Banco Central de Reserva del Perú 2006-008, Banco Central de Reserva del Perú.

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