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

Ramón Maria-Dolores

No 02-04, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: 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 diferent ejects 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 diferent in the analysed countries when I focus on a sectorial analysis.

Keywords: monetary policy; Taylor rule; asymmetries; Generalised Method of the Moments and Markov switching models (search for similar items in EconPapers)
JEL-codes: C32 D92 E52 E58 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2002-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.aeefi.com/RePEc/pdf/defi02-04.pdf (application/pdf)

Related works:
Working Paper: Asymmetries in the Cyclical Effects of Monetary Policy on Output: Some European Evidence
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aee:wpaper:0204

Access Statistics for this paper

More papers in Working Papers from Asociación Española de Economía y Finanzas Internacionales Contact information at EDIRC.
Bibliographic data for series maintained by Luis Miguel del Corral Cuervo ().