Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model
Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model
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DOI：
10.2139/ssrn.302773
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发表时间：
2002-04
期刊：
影响因子：
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通讯作者：
M. Lo;Jeremy Piger
中科院分区：
文献类型：
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作者：
M. Lo;Jeremy Piger
本文研究了美国产出对货币政策反应的机制转换。我们发现在这种反应中有大量的，统计上显著的时间变化，对应于“高反应”和“低反应”制度。然后，我们通过将控制切换过程的转移概率建模为状态变量的函数来研究状态转移的时间是否与三种特定的不对称表现相一致。我们发现强有力的证据表明，在衰退期间采取的政策行动比在扩张期间采取的政策行动具有更大的影响。我们发现，与政策行动的方向或规模有关的不对称证据较少。
This paper investigates regime switching in the response of U.S. output to a monetary policy action. We find substantial, statistically significant, time variation in this response that corresponds to "high response" and "low response" regimes. We then investigate whether the timing of the regime shifts are consistent with three particular manifestations of asymmetry by modeling the transition probabilities governing the switching process as functions of state variables. We find strong evidence that policy actions taken during recessions have larger effects than those taken during expansions. We find less evidence of asymmetry related to the direction or size of the policy action.