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La politique monétaire a-t-elle des effets asymétriques sur l'emploi?

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Author Info
Pichette, Lise

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Abstract

Several economists, including Cover (1992), Ammer and Brunner (1995), Macklem, Paquet, and Phaneuf (1996), have worked over the past few years to determine whether monetary policy shocks have asymmetric effects on output. These authors have generally found that negative monetary shocks tend to reduce output growth significantly, and that positive shocks generally have a weaker or even negligible impact. The goal of this study is to determine whether asymmetric reactions can be observed in the Canadian labour market. Because employment is an important factor in the output process, discovering how this variable reacts to monetary policy shocks could lead to a better understanding of where asymmetric effects on output originate. I have estimated the model in two stages, using the generalized moments method, and have made correction to the variance-covariance matrix of estimators proposed by Newey (1984) in order to take into account the generated regressors. Overall, the results agree with those of previous output studies, except for employment defined as the number of hours worked per person in each period. The asymmetric effects observed, however, diminish or disappear altogether when other real variables are added to the model.

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File URL: http://www.bankofcanada.ca/en/res/wp/1998/wp98-17.pdf
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Paper provided by Bank of Canada in its series Working Papers with number 98-17.

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Length: 47 pages
Date of creation: 1998
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Handle: RePEc:bca:bocawp:98-17

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Related research
Keywords: Transmission of monetary policy;

Find related papers by JEL classification:
E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

References listed on IDEAS
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  1. Garcia, R. & Schaller, H., 1995. "Are the Effects of Monetary Policy Asymmetric?," Cahiers de recherche 9505, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  2. 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. [Downloadable!] (restricted)
  3. repec:fth:harver:1418 is not listed on IDEAS
  4. Newey, Whitney K., 1984. "A method of moments interpretation of sequential estimators," Economics Letters, Elsevier, vol. 14(2-3), pages 201-206. [Downloadable!] (restricted)
  5. J. Bradford De Long & Lawrence H. Summers, . "How Does Macroeconomic Policy Matter?," J. Bradford De Long's Working Papers _130, University of California at Berkeley, Economics Department. [Downloadable!]
  6. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-48, April. [Downloadable!] (restricted)
  7. Barro, Robert J, 1977. "Unanticipated Money Growth and Unemployment in the United States," American Economic Review, American Economic Association, vol. 67(2), pages 101-15, March.
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  8. Mishkin, Frederic S, 1982. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," Journal of Political Economy, University of Chicago Press, vol. 90(1), pages 22-51, February. [Downloadable!] (restricted)
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  9. Robert A. Amano & R. Tiff Macklem, 1998. "Unemployment Persistence and Costly Adjustment of Labour: A Canada-US Comparison," Canadian Public Policy, University of Toronto Press, vol. 24(s1), pages 138-151, February. [Downloadable!] (restricted)
  10. Pietro Garibaldi, 1997. "The Asymmetric Effects of Monetary Policy on Job Creation and Destruction," IMF Working Papers 97/57, International Monetary Fund.
  11. Thoma, Mark A., 1994. "Subsample instability and asymmetries in money-income causality," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 279-306. [Downloadable!] (restricted)
  12. Hamermesh, Daniel S, 1989. "Labor Demand and the Structure of Adjustment Costs," American Economic Review, American Economic Association, vol. 79(4), pages 674-89, September. [Downloadable!] (restricted)
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  13. Cote, D. & Hostland, D., 1996. "An Econometric Examination of the Trend Unemployment Rate in Canada," Working Papers 96-7, Bank of Canada. [Downloadable!]
  14. Boschen, John F & Mills, Leonard O, 1995. "The Relation between Narrative and Money Market Indicators of Monetary Policy," Economic Inquiry, Oxford University Press, vol. 33(1), pages 24-44, January.
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