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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
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Handle: RePEc:dgr:rugsom:98c36
Contact details of provider: Postal: PO Box 800, 9700 AV Groningen
Phone: +31 50 363 7185
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Web page: http://som.eldoc.ub.rug.nl/
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  1. Thoma, Mark A., 1994. "Subsample instability and asymmetries in money-income causality," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 279-306.
  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. Audretsch, David B. & Elston, Julie Ann, 2000. "Does firm size matter? Evidence on the impact of liquidity constraint on firm investment behavior in Germany," HWWA Discussion Papers 113, Hamburg Institute of International Economics (HWWA).
  4. repec:ags:hiiedp:26306 is not listed on IDEAS
  5. 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.
  6. 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.
  7. Fabio C. Bagliano & Carlo A. Favero, . "Measuring Monetary Policy with VAR Models: an Evaluation," Working Papers 132, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  8. 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.
  9. Audretsch, David B & Elston, Julie Ann, 1994. "Does Firm Size Matter? Evidence on the Impacts of Liquidity Constraints on Firm Investment Behaviour in Germany," CEPR Discussion Papers 1072, C.E.P.R. Discussion Papers.
  10. 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.
  11. Kakes, Jan, 1998. "Monetary transmission and bank lending in the Netherlands," Research Report 98C30, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
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