Asymmetries in the Cyclical Effects of Monetary Policy on Output: Some European Evidence
No 02-04, Working Papers from Asociación Española de Economía y Finanzas Internacionales
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
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Persistent link: https://EconPapers.repec.org/RePEc:aee:wpaper:0204
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