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The effects of the monetary policy stance on the transmission mechanism
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Galvão, Ana Beatriz and Marcellino, Massimiliano (2014) The effects of the monetary policy stance on the transmission mechanism. Studies in Nonlinear Dynamics & Econometrics, 18 (3). doi:10.1515/snde-2012-0027 ISSN 1081-1826.
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Official URL: http://dx.doi.org/10.1515/snde-2012-0027
Abstract
This paper contributes to the literature on changes in the transmission mechanism of monetary policy by introducing a model whose parameter evolution explicitly depends on the stance of monetary policy. The model, a structural break endogenous threshold VAR, also captures changes in the variance of shocks, and allows for a break in the parameters at an estimated time. We show that the transmission is asymmetric depending on the extention of the deviation of the actual policy rate from the one required by the Taylor rule. When the policy stance is tight – actual rate is higher than the one implied by the Taylor rule – contractionary shocks have stronger negative effects on output and prices.
Item Type: | Journal Article | ||||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||
Journal or Publication Title: | Studies in Nonlinear Dynamics & Econometrics | ||||||
Publisher: | Walter de Gruyter GmbH & Co. KG | ||||||
ISSN: | 1081-1826 | ||||||
Official Date: | May 2014 | ||||||
Dates: |
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Volume: | 18 | ||||||
Number: | 3 | ||||||
DOI: | 10.1515/snde-2012-0027 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Access rights to Published version: | Restricted or Subscription Access |
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