Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models

Gilles Dufrénot (), Valérie Mignon () and Anne PEGUIN-FEISSOLE
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Anne PEGUIN-FEISSOLE: GREQAM-CNRS Marseille
Authors registered in the RePEc Author Service: Anne PEGUIN-FEISSOLLE ()

Macroeconomics from EconWPA

Abstract: This paper investigates the asymmetric effects of monetary shocks when the=20 impact of monetary policy on real activity works through state-dependent=20 variables. We use a nonlinear model, the multiple regime smooth transition=20 autoregressive model, that allows the effects of shocks to vary across the b= usiness=20 cycles when monetary innovations modify both the endogenous and state variab= les.=20 Our impulse response function show a history-dependence property. Indeed,=20 hitting the economy at a given time induces persistence and asymmetric respo= nses=20 across histories and shocks. The empirical application concerns the US over=20= the=20 period 1975:1- 1998:2

JEL-codes: C32 E37 E32 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-mac and nep-mon
Date: 2003-09-04
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpma:0309002

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