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

  • Ramón María-Dolores

    (Universidad de Murcia)

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 Asociación Española de Economía y Finanzas Internacionales in its series Working Papers with number 02-04.

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Length: 47 pages
Date of creation: May 2002
Date of revision:
Handle: RePEc:aee:wpaper:0204
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