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Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model
16 references·16 citing·41 second hopsampled
Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model (2005)Is the Response of Output to Monetary Pol…Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003)Why Are the Beveridge-Nelson …7. Regime Switching with Time-Varying Transition Probabilities (1999)7. Regime Switching with Time…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Inside the Black Box: The Cre…Business-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…Asymmetric Price Adjustment and Economic Fluctuations (1994)Asymmetric Price Adjustment a…THE “PLUCKING MODEL” OF BUSINESS FLUCTUATIONS REVISITED (1993)THE “PLUCKING MODEL” OF BUSIN…BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK (1993)BUSINESS CYCLE ASYMMETRY: A D…Asymmetric Effects of Positive and Negative Money-Supply Shocks (1992)Asymmetric Effects of Positiv…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…How Does Macroeconomic Policy Affect Output? (1988)How Does Macroeconomic Policy…The Cyclical Component of U. S. Economic Activity (1987)The Cyclical Component of U. …Univariate detrending methods with stochastic trends (1986)Univariate detrending methods…The Optimum Quantity of Money: and Other Essays (1971)The Optimum Quantity of Money…State Dependence of Monetary Policy Across Business, Credit and Interest Rate Cycles (2019)State Dependence of Monetary …Pushing on a String: State-Owned Enterprises and Monetary Policy Transmission in China (2018)Pushing on a String: State-Ow…Household Debt Overhang and Transmission of Monetary Policy (2018)Household Debt Overhang and T…Functional Approximation of Impulse Responses (2018)Functional Approximation of I…Pushing on a String: US Monetary Policy Is Less Powerful in Recessions (2016)Pushing on a String: US Monet…Macroeconomic Regimes and Regime Shifts (2016)Macroeconomic Regimes and Reg…Virtual integration of financial markets: a dynamic correlation analysis of the creation of the Latin American Integrated Market (2015)Virtual integration of financ…The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model (2015)The effects of global excess …An error-correction modeling of US consumer spending: are there asymmetries? (2015)An error-correction modeling …State-dependent effects of fiscal policy (2014)State-dependent effects of fi…Loss aversion and the asymmetric transmission of monetary policy (2014)Loss aversion and the asymmet…Economic Uncertainty and the Effectiveness of Monetary Policy (2013)Economic Uncertainty and the …Money–Income Granger-Causality in Quantiles (2012)Money–Income Granger-Causalit…INTERNATIONAL EVIDENCE ON RECOVERY FROM RECESSIONS (2012)INTERNATIONAL EVIDENCE ON REC…The impact of monetary policy on unemployment hysteresis (2011)The impact of monetary policy…The Taylor Rule and “Opportunistic” Monetary Policy (2010)The Taylor Rule and “Opportun…New Indexes of Coincident and Leading Economic Indicators (1989)The federal funds rate and the channels of monetary transmission (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Stock market volatility and the business cycle (1996)Vulnerable Growth (2019)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)Trends and random walks in macroeconmic time series (1982)Are Output Fluctuations Transitory? (1987)Common stochastic trends in international stock markets (1992)Low frequency filtering and real business cycles (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Measuring Business Cycles (1947)Sources of Business Cycle Fluctuations (1988)Variable Trends in Economic Time Series (1988)Permanent and Transitory Components of GNP and Stock Prices (1994)The General Theory of Employment, Interest and Money. (1936)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach (1999)How Business Cycles Contribute to Private-Label Success: Evidence from the United States and Europe (2006)Macroeconomics and Reality (1980)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Quarterly Journal of Economics (2024)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)On the Time Consistency of Optimal Policy in a Monetary Economy (1978)Inflation and Welfare (2000)Learning about monetary policy rules (2002)Asymmetric Price Transmission: A Survey (2004)The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis (2014)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission4,205 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1971The Optimum Quantity of Money: and Other Essays1,208 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 1986Univariate detrending methods with stochastic trends851 cited
  • 1987The Cyclical Component of U. S. Economic Activity741 cited
  • 1994Asymmetric Price Adjustment and Economic Fluctuations668 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1993BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK580 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?542 cited
  • 1992Asymmetric Effects of Positive and Negative Money-Supply Shocks541 cited
  • 19997. Regime Switching with Time-Varying Transition Probabilities450 cited
  • 1988How Does Macroeconomic Policy Affect Output?

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408 cited
  • 1993THE “PLUCKING MODEL” OF BUSINESS FLUCTUATIONS REVISITED339 cited
  • Cited by

    • 2016Pushing on a String: US Monetary Policy Is Less Powerful in Recessions156 cited
    • 2018Household Debt Overhang and Transmission of Monetary Policy131 cited
    • 2013Economic Uncertainty and the Effectiveness of Monetary Policy105 cited
    • 2016Macroeconomic Regimes and Regime Shifts101 cited
    • 2018Functional Approximation of Impulse Responses95 cited
    • 2012INTERNATIONAL EVIDENCE ON RECOVERY FROM RECESSIONS93 cited
    • 2015An error-correction modeling of US consumer spending: are there asymmetries?89 cited
    • 2019State Dependence of Monetary Policy Across Business, Credit and Interest Rate Cycles83 cited
    • 2014State-dependent effects of fiscal policy78 cited
    • 2010The Taylor Rule and “Opportunistic” Monetary Policy76 cited
    • 2014Loss aversion and the asymmetric transmission of monetary policy75 cited
    • 2018Pushing on a String: State-Owned Enterprises and Monetary Policy Transmission in China73 cited
    • 2011The impact of monetary policy on unemployment hysteresis69 cited
    • 2012Money–Income Granger-Causality in Quantiles52 cited
    • 2015The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model41 cited
    • 2015Virtual integration of financial markets: a dynamic correlation analysis of the creation of the Latin American Integrated Market37 cited