Modelling monetary transmission in UK manufacturing industry
Juan de Dios Tena () and
Economic Modelling, 2009, vol. 26, issue 5, 1053-1066
This paper studies the transmission of monetary policy to industrial output in the UK. In order to capture asymmetries, a system of threshold equations is considered. However, unlike previous research, endogenous threshold parameters are allowed to be different for each equation. Such an approach may be appealing from an economic point of view and is shown to be of importance after suitable econometric evaluation. Results show evidence of cross-sectional differences across industries and asymmetries in some sectors. These findings contribute to the debate about the importance of alternative economic theories to explain these asymmetries and support the use of a sectorally disaggregated approach to the analysis of monetary transmission.
Keywords: Vector; autoregression; Threshold; models; Impulse-response; functions; Sectoral; disaggregration (search for similar items in EconPapers)
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Working Paper: Modelling monetary transmission in UK manufacturing industry (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:26:y:2009:i:5:p:1053-1066
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