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Asymmetries in the Cyclical Effects of Monetary Policy on Output: Some European Evidence

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  • Ramon Maria-Dolores

Abstract

In this paper, I present empirical evidence for …ve European countries (Germany, France, UK, Spain and Italy) and the Euro-zone on whether monetary policy shocks produce di¤erent e¤ects on real output growth depending on the phase of the business cycle that the economy is undergoing (the socalled ‘state’ asymmetry). To do so, I apply a multivariate extension of the Hamilton(1989)’s Markov switching methodology. I …nd evidence in favour of ‘state’ asymmetries at the aggregate level in all the countries whereby interest-rate shocks have larger e¤ects in recessions than in expansions. I also carry out the analysis at the sectorial level and observe that this asymmetric effect seems to be di¤erent in the analysed countries when I focus on a sectorial analysis.

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Paper provided by FEDEA in its series Working Papers on International Economics and Finance with number 02-04.

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Handle: RePEc:fda:fdadef:02-04

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Cited by:
  1. Engelbert Stockhammer & Simon Sturn, 2008. "The Impact of Monetary Policy on Unemployment Hysteresis," IMK Working Paper 15-2008, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  2. Oreste Napolitano & Alberto Montagnoli, 2010. "The European Unemployment Gap and the Role of Monetary Policy," Economics Bulletin, AccessEcon, vol. 30(2), pages 1346-1358.

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