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Business Cycles Asymmetry and Monetary Policy: A Further Investigation using MRSTAR Models

Listed author(s):
  • Gilles Dufrénot

    ()

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - ECM - Ecole Centrale de Marseille - AMU - Aix Marseille Université - EHESS - École des hautes études en sciences sociales - Université Paul Cézanne - Aix-Marseille 3 - Université de la Méditerranée - Aix-Marseille 2 - CNRS - Centre National de la Recherche Scientifique)

  • Valérie Mignon

    ()

    (CEPII - Centre d'études prospectives et d'informations internationales)

  • Anne Peguin-Feissolle

    ()

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - ECM - Ecole Centrale de Marseille - AMU - Aix Marseille Université - EHESS - École des hautes études en sciences sociales - Université Paul Cézanne - Aix-Marseille 3 - Université de la Méditerranée - Aix-Marseille 2 - CNRS - Centre National de la Recherche Scientifique)

This paper investigates the asymmetric effects of monetary shocks when the impact of monetary policy on real activity works through state-dependent variables. We use a nonlinear model, the multiple regime smooth transition autoregressive model, that allows the effects of shocks to vary across the business cycles when monetary innovations modify both the endogenous and state variables. Our impulse response functions show a history-dependence property. Indeed, hitting the economy at a given time induces persistence and asymmetric responses across histories and shocks. The empirical application concerns the US over the period 1975:1–1998:2.

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Paper provided by HAL in its series Post-Print with number halshs-00390154.

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Date of creation: 2004
Publication status: Published in Economic Modelling, Elsevier, 2004, 21 (1), pp.37-71. <10.1016/S0264-9993(02)00083-4>
Handle: RePEc:hal:journl:halshs-00390154
DOI: 10.1016/S0264-9993(02)00083-4
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00390154
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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