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

Frédérique Bec, CREST--ENSAE
Mélika Ben Salem, CRIEF-Université de Poitiers and Eurequa, Université de Paris I
Fabrice Collard, CNRS-GREMAQ and IDEI

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.

Recommended Citation

Frédérique Bec, Mélika Ben Salem, and Fabrice Collard (2002) "Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks", Studies in Nonlinear Dynamics & Econometrics: Vol. 6: No. 2, Article 3.
http://www.bepress.com/snde/vol6/iss2/art3

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