Business Cycles Asymmetry and Monetary Policy: A Further Investigation using MRSTAR Models

Gilles Dufrénot (), Valérie Mignon () and Anne Peguin-Feissolle ()
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Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper investigates the asymmetric effects of monetary shocks when the impact of monetary policy on real activity works through state-dependent variables. We use a nonlinear model, the multiple regime smooth transition autoregressive model, that allows the effects of shocks to vary across the business cycles when monetary innovations modify both the endogenous and state variables. Our impulse response functions show a history-dependence property. Indeed, hitting the economy at a given time induces persistence and asymmetric responses across histories and shocks. The empirical application concerns the US over the period 1975:1–1998:2.

Keywords: Asymmetry; Nonlinear models; Monetary impulses (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (14)

Published in Economic Modelling, 2004, 21 (1), pp.37-71. ⟨10.1016/S0264-9993(02)00083-4⟩

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Journal Article: Business cycles asymmetry and monetary policy: a further investigation using MRSTAR models (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00390154

DOI: 10.1016/S0264-9993(02)00083-4

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