Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks

Frédérique Bec, Mélika Ben Salem () and Fabrice Collard
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Mélika Ben Salem: Université Gustave Eiffel, CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers
Fabrice Collard: GREMAQ - Groupe de recherche en économie mathématique et quantitative - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique, IDEI - Institut d'Economie Industrielle - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse

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Abstract: This paper proposes an empirical exploration of the possible asymmetric nature of the preferences of central bankers, with respect to inflation and output targets. The idea underlying this work lies in the widespread belief that central bankers interventions-through changes in a short-term interest rate-are influenced by the state of the current and/or expected state of the business cycle. The GMM estimates of a threshold model support the asymmetric representation of the monetary policy reaction function for recent U.S, French and German data.

Date: 2002-01-01
Note: View the original document on HAL open archive server: https://hal.science/hal-04176268v1
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Published in Studies in Nonlinear Dynamics and Econometrics, 2002, 6 (2), ⟨10.2202/1558-3708.1006⟩

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Journal Article: Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04176268

DOI: 10.2202/1558-3708.1006

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