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

Author

Listed:
  • 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:

Suggested Citation

  • Holmes, Mark J. & Wang, Ping, 2002. "Do monetary Shocks Exert Nonlinear Real Effects on UK Industrial Production?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 55(3), pages 351-364.
  • Handle: RePEc:ris:ecoint:0182
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    Citations

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    Cited by:

    1. 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), issue 1, pages 66-83.
    2. Guo, Feng & Hu, Jinyan & Jiang, Mingming, 2013. "Monetary shocks and asymmetric effects in an emerging stock market: The case of China," Economic Modelling, Elsevier, vol. 32(C), pages 532-538.
    3. repec:wsi:serxxx:v:62:y:2017:i:04:n:s0217590817400318 is not listed on IDEAS
    4. 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 2006-008, Banco Central de Reserva del PerĂº.

    More about this item

    Keywords

    Nonlinear; monetary shocks; UK output;

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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