Monetary transmission and business cycle asymmetry

Jan Kakes

No 98C36, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)

Abstract: This paper investigates asymmetric effects of monetary policy over the business cycle. A two-state Markov Switching Model is employed to model both recessions and expansions. For the United States and Germany, strong evidence is found that monetary policy is more effective in a recession than during a boom. Also some evidence is found for asymmetry in the United Kingdom and Belgium. In the Netherlands, monetary policy is not very effective in either regime.

Date: 1998
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