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Monetary transmission and business cycle asymmetry

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Author Info
Kakes, Jan (Groningen University)

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Abstract

This paper investigates asymmetric effects of monetary policy over the business cycle. A two-state Markov Switching Model is employed to model both recessions and expansions. For the United States and Germany, strong evidence is found that monetary policy is more effective in a recession than during a boom. Also some evidence is found for asymmetry in the United Kingdom and Belgium. In the Netherlands, monetary policy is not very effective in either regime.

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File URL: http://irs.ub.rug.nl/ppn/174868677
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Publisher Info
Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 98C36.

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Date of creation: 1998
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Handle: RePEc:dgr:rugsom:98c36

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  1. Gert Peersam & Frank Smets, 2002. "The industry effects of monetary policy in the Euro area," Working Paper Series 165, European Central Bank. [Downloadable!]
    Other versions:
  2. W.A. Bruinshoofd & B. Candelon, 2004. "Nonlinear monetary policy in europe: fact or myth?," WO Research Memoranda (discontinued) 758, Netherlands Central Bank, Research Department. [Downloadable!]
    Other versions:
  3. Anna Florio, 2005. "Asymmetric monetary policy: empirical evidence for Italy," Applied Economics, Taylor and Francis Journals, vol. 37(7), pages 751-764, April. [Downloadable!] (restricted)
  4. Frank Smets & Gert Peersman, 2001. "Are the effects of monetary policy in the euro area greater in recessions than in booms?," Working Paper Series 052, European Central Bank. [Downloadable!]
  5. Roman Sustek, 2005. "Plant-Level Nonconvexities and the Monetary Transmission Mechanism," Working Papers 2005/09, Czech National Bank, Research Department. [Downloadable!]
  6. Ramos, Raul & Clar, Miquel & Surinach, Jordi, 1999. "EMU: some unanswered questions," ERSA conference papers ersa99pa220, European Regional Science Association. [Downloadable!]
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