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

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  • Ramón María-Dolores

    (Universidad de Murcia)

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 diferent ejects 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 diferent in the analysed countries when I focus on a sectorial analysis.

Suggested Citation

  • Ramón María-Dolores, 2002. "Asymmetries in the Cyclical Effects of Monetary Policy on Output: Some European Evidence," Working Papers 02-04, Asociación Española de Economía y Finanzas Internacionales.
  • Handle: RePEc:aee:wpaper:0204
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    Cited by:

    1. Engelbert Stockhammer & Simon Sturn, 2012. "The impact of monetary policy on unemployment hysteresis," Applied Economics, Taylor & Francis Journals, vol. 44(21), pages 2743-2756, July.
    2. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2017. "Financial Depth and the Asymmetric Impact of Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(6), pages 1195-1218, December.
    3. Zare , Roohollah, 2015. "Asymmetric Effects of Monetary Policy and Business Cycles in Iran using Markov-switching Models," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(4), pages 125-142, October.
    4. 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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    More about this item

    Keywords

    monetary policy; Taylor rule; asymmetries; Generalised Method of the Moments and Markov switching models;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D92 - Microeconomics - - Micro-Based Behavioral Economics - - - Intertemporal Firm Choice, Investment, Capacity, and Financing
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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