Asymmetries in the Cyclical Effects of Monetary Policy on Output: Some European Evidence

In this paper, I present empirical evidence for …ve European countries (Germany, France, UK, Spain and Italy) and the Euro-zone on whether monetary policy shocks produce di¤erent e¤ects on real output growth depending on the phase of the business cycle that the economy is undergoing (the socalled ‘state’ asymmetry). To do so, I apply a multivariate extension of the Hamilton(1989)’s Markov switching methodology. I …nd evidence in favour of ‘state’ asymmetries at the aggregate level in all the countries whereby interest-rate shocks have larger e¤ects in recessions than in expansions. I also carry out the analysis at the sectorial level and observe that this asymmetric effect seems to be di¤erent in the analysed countries when I focus on a sectorial analysis.monetary policy, Taylor rule, asymmetries, Generalised Method of the Moments and Markov switching models

Variaciones en el tipo de intervención del banco de España: Un análisis mediante un enfoque alternativo

Recientemente han aparecido una serie de estudios en la literatura que utilizan modelos basados en procesos de puntos marcados y análisis de supervivencia para analizar aspectos de economía monetaria y financiera; véase p.ej, Engle and Russell (1995, 1997), Engle and Lange (1997) y Jordá (1998). En este trabajo, haciendo uso de un planteamiento similar, se tratará de analizar los principales determinantes de una regla de control basada en un tipo de intervención, así como el papel desempeilado por el mismo dentro de la política monetaria en España durante el período 1984-1998. En primer lugar, se procede a realizar un estudio de las principales magnitudes macroeconómicas relevantes a la hora de llevar a cabo las intervenciones el banco central (sucesos), mediante un modelo probit, pasando posteriormente a considerar los cambios en el instrumento monetario de control (marcas) mediante un modelo probit ordenado. Asimismo, se realiza un análisis conjunto de sucesos y marcas mediante un modelo probit secuencial para las intervenciones del banco central. Por último, se observa la posibilidad de existencia de efectos asimétricos en la forma de actuación del banco central ante cambios en el comportamiento de magnitudes macroeconómicas relevantes, obteniéndose envidencia a favor de los mismos

The New Keynesian Monetary Model: Does it Show the Comovement Between Output and Inflation in the U.S.?

Published as article in: Journal of Economic Dynamics and Control (2008), 32(May), pp. 1466-1488.comovement, VAR forecast errors, optimal policy, NKM model

Term Structure and the Estimated Monetary Policy Rule in the Eurozone

Published as an article in: Spanish Economic Review, 2008, vol. 10, issue 4, pages 251-277.NKM model, term structure, policy rule, indirect inference

Are monetary-policy reaction functions asymmetric?: The role of nonlinearity in the Phillips curve

This paper investigates the implications of a nonlinear Phillips curve for the derivation of optimal monetary policy rules. Combined with a quadratic loss function, the optimal policy is also nonlinear, with the policy-maker increasing interest rates by a larger amount when inflation or output are above target than the amount it will reduce them when they are below target. Specifically, the main prediction of our model is that such a source of nonlinearity leads to the inclusion of the interaction between expected inflation and the output gap in an otherwise linear Taylor rule. We find empirical support for this type of asymmetries in the interest rate-setting behaviour of four European central banks but none for the US Fed.Publicad

The relationship between height and economic development in Spain. A historical perspective

This paper investigates the relationship between height and economic development in Spain in the modern period. The relation is investigated using recently constructed times series with recruitment data of conscripts. We observed changes in average height along the analyzed period. These variations could be explained by different indicators of economic development such as consumption of hygiene products, the deflator of private consumption, income per capìta, schooling rate, infant mortality and trade (degree of openness). We model human stature as a Vector Autoregressive Model (VAR) and we proceed to estimate a Vector Autoregressive Equilibrium Correction Model (VECqM) to quantify the height response to different changes in the different explanatory variables. The analysis shows that there is a long-°©‐run relationship between height, income, and other indicators of economic development in Spain as consumption of hygiene products, and the degree of opennessHeight, health, income, education, economic development, cointegration, Spain.

Exchange rate pass-through in new member states and candidate countries of the EU

This paper studies the pass-through of exchange rate changes into the prices of imports that originated inside the euro area made by some New Member States (NMSs) of the European Union and one candidate country (Turkey). I use data on import unit values for nine different product categories and bilateral imports from the euro area for each country and I estimate industry-specific rates of pass-through across and within countries using two different methodological approaches. The first one is based on Campa and González-Mínguez (2006) which estimates the short- and long-run pass through elasticities, where long-run elasticities are defined as the sum of the pass-through coefficients for the contemporaneous exchange rate and its first four lags. The second one is employed by de Bandt, Banerjee and Kozluk (2007) which suggests a long-run Engle and Granger (1987) cointegrating relationship and the possibility of structural breaks to restore the long-run in the estimation. I did not find evidence either in favour of the hypothesis of Local Currency Pricing (zero pass-through) or the hypothesis of Producer Currency Pricing (complete pass-through) for all the countries except Slovenia and Cyprus in the latter. The exchange rate pass-through ranged from 0.090 to 2.916 in the short-run and from 0.102 to 2.242 in the long-run. With reference to the results by industry the lowest values for exchange rate pass-through are in Manufacturing sectors. However, I did observe a exchange rate pass-through decline through the pricing chain and a large dependence of their economies on imported input

Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.

This paper derives optimal monetary policy rules in setups where certainty equivalence does not hold because either central bank preferences are not quadratic, and/or the aggregate supply relation is nonlinear. Analytical results show that these features lead to sign and size asymmetries, and nonlinearities in the policy rule. Reduced-form estimates indicate that US monetary policy can be characterized by a nonlinear policy rule after 1983, but not before 1979. This finding is consistent with the view that the Fed's inflation preferences during the Volcker-Greenspan regime differ considerably from the ones during the Burns-Miller regime.Publicad

On the Informational Role of Term Structure in the U.S. Monetary Policy Rule

This paper uses a structural approach based on the indirect inference principle to estimate a standard version of the new Keynesian monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread and policy inertia are both important determinants of the U.S. estimated monetary policy rule whereas the persistence of shocks plays a small but significant role when revised and real-time data of output and inflation are both considered. More importantly, the relative importance of term spread and persistent shocks in the policy rule and the shock transmission mechanism drastically change when it is taken into account that real-time data are not well behaved.NKM model, term structure, monetary policy rule, indirect inference, real-time