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Modelling monetary transmission in UK manufacturing industry

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  • Tena, Juan de Dios
  • Tremayne, A.R.

Abstract

This paper studies the transmission of monetary policy to industrial output in the UK. In order to capture asymmetries, a system of threshold equations is considered. However, unlike previous research, endogenous threshold parameters are allowed to be different for each equation. Such an approach may be appealing from an economic point of view and is shown to be of importance after suitable econometric evaluation. Results show evidence of cross-sectional differences across industries and asymmetries in some sectors. These findings contribute to the debate about the importance of alternative economic theories to explain these asymmetries and support the use of a sectorally disaggregated approach to the analysis of monetary transmission.

Suggested Citation

  • Tena, Juan de Dios & Tremayne, A.R., 2009. "Modelling monetary transmission in UK manufacturing industry," Economic Modelling, Elsevier, vol. 26(5), pages 1053-1066, September.
  • Handle: RePEc:eee:ecmode:v:26:y:2009:i:5:p:1053-1066
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    Cited by:

    1. Tena, Juan de Dios & Tremayne, A.R., 2009. "Modelling monetary transmission in UK manufacturing industry," Economic Modelling, Elsevier, vol. 26(5), pages 1053-1066, September.
    2. Alam, Tasneem & Waheed, Muhammad, 2006. "The monetary transmission mechanism in Pakistan: a sectoral analysis," MPRA Paper 2719, University Library of Munich, Germany, revised 13 Apr 2007.
    3. Demetrescu, Matei & Leppin, Julian Sebastian & Reitz, Stefan, 2017. "Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test," Kiel Working Papers 2094, Kiel Institute for the World Economy (IfW).
    4. Singh, Sunny Kumar & Rao, D. Tripati, 2014. "Sectoral effects of monetary policy shock: evidence from India," MPRA Paper 62069, University Library of Munich, Germany.
    5. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.

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