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Monetary Policy and Business Cycle Asymmetry in Germany
Credit and Capital Markets – Kredit und Kapital, Vol. 33 (2000), Iss. 2 : pp. 182–197
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Jan Kakes, Amsterdam
Cited By
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Économétrie des modèles à changement de régimes : un essai de synthèse
Uctum, Remzi
L'Actualité économique, Vol. 83 (2008), Iss. 4 P.447
https://doi.org/10.7202/019389ar [Citations: 0]
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Abstract
Monetary Policy and Business Cycle Asymmetry in Germany
In this paper, we investigate whether the impact of monetary policy on industrial production in Germany is larger in a recession than during a boom. Using a two-state Markov Switching Model to separate recessions and expansions, and three different policy indicators, we find strong evidence of asymmetric effects of monetary policy over the business cycle. Our findings imply that standard linear approaches, such as VAR models, ignore important time-varying aspects of the monetary transmission mechanism. (JEL E32, E52)