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Monetary transmission and business cycle asymmetry

  • Kakes, Jan

    (Groningen University)

This paper investigates asymmetric effects of monetary policy over the business cycle. A two-state Markov Switching Model is employed to model both recessions and expansions. For the United States and Germany, strong evidence is found that monetary policy is more effective in a recession than during a boom. Also some evidence is found for asymmetry in the United Kingdom and Belgium. In the Netherlands, monetary policy is not very effective in either regime.

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File URL: http://irs.ub.rug.nl/ppn/174868677
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Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 98C36.

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Date of creation: 1998
Date of revision:
Handle: RePEc:dgr:rugsom:98c36
Contact details of provider: Postal: PO Box 800, 9700 AV Groningen
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Web page: http://som.eldoc.ub.rug.nl/
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  1. Barran, Fernando & Peeters, Marga, 1998. "Internal finance and corporate investment: Belgian evidence with panel data," Economic Modelling, Elsevier, vol. 15(1), pages 67-89, January.
  2. Elston, J-A, 1997. "Investment, Liquidity Constaints and Bank Relationships : Evidence from German Manufacturing Firms," Papers 17, American Institute for Contemporary German Studies-.
  3. Bagliano, Fabio C. & Favero, Carlo A., 1998. "Measuring monetary policy with VAR models: An evaluation," European Economic Review, Elsevier, vol. 42(6), pages 1069-1112, June.
  4. Audretsch, David B. & Elston, Julie Ann, 2002. "Does firm size matter? Evidence on the impact of liquidity constraints on firm investment behavior in Germany," International Journal of Industrial Organization, Elsevier, vol. 20(1), pages 1-17, January.
  5. Kakes, Jan, 1998. "Monetary transmission and bank lending in the Netherlands," Research Report 98C30, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  6. repec:ags:hiiedp:26306 is not listed on IDEAS
  7. Thoma, Mark A., 1994. "Subsample instability and asymmetries in money-income causality," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 279-306.
  8. Martin, Christopher, 1990. "Corporate Borrowing and Credit Constraints: Structural Disequilibrium Estimates for the U.K," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 78-86, February.
  9. Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, vol. 107(4), pages 1261-82, November.
  10. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
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