메뉴 건너뛰기




Volumn 21, Issue 1, 2004, Pages 37-71

Business cycles asymmetry and monetary policy: A further investigation using MRSTAR models

Author keywords

Asymmetry; Monetary impulses; Nonlinear models

Indexed keywords


EID: 0142157192     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0264-9993(02)00083-4     Document Type: Article
Times cited : (11)

References (38)
  • 1
    • 0142233460 scopus 로고    scopus 로고
    • The Asymmetry of Monetary Policies and STAR Model Estimations
    • International Conference on Forecasting Financial Markets, London
    • Aftalion, J., 1997. The Asymmetry of Monetary Policies and STAR Model Estimations. International Conference on Forecasting Financial Markets, London
    • (1997)
    • Aftalion, J.1
  • 2
    • 84936023192 scopus 로고
    • Credit rationing and effective supply failures
    • Blinder A.S. Credit rationing and effective supply failures Econ. J. 97 1987 327-352
    • (1987) Econ. J. , vol.97 , pp. 327-352
    • Blinder, A.S.1
  • 3
    • 4243405106 scopus 로고    scopus 로고
    • Recent Developments in Nonlinear Cointegration, with Applications to Macroeconomics and Finance
    • Boston: Kluwer Academic Press
    • Dufrénot G. Mignon V. Recent Developments in Nonlinear Cointegration, with Applications to Macroeconomics and Finance 2002 Kluwer Academic Press Boston
    • (2002)
    • Dufrénot, G.1    Mignon, V.2
  • 4
    • 4243981372 scopus 로고    scopus 로고
    • Business Cycles Asymmetry of Monetary Policy: A Further Investigation using MRSTAR Models
    • (full version). Working Paper, GREQAM, Marseille
    • Dufrénot, G., Mignon, V., Péguin-Feissolle, A., 2001. Business Cycles Asymmetry of Monetary Policy: A Further Investigation using MRSTAR Models (full version). Working Paper, GREQAM, Marseille
    • (2001)
    • Dufrénot, G.1    Mignon, V.2    Péguin-Feissolle, A.3
  • 5
    • 0040322024 scopus 로고    scopus 로고
    • State-dependent pricing and the general equilibrium dynamics on money and output
    • Dotsey M. King R. Wolman A. State-dependent pricing and the general equilibrium dynamics on money and output Q. J. Econ. 114 1999 655-690
    • (1999) Q. J. Econ. , vol.114 , pp. 655-690
    • Dotsey, M.1    King, R.2    Wolman, A.3
  • 6
    • 0142202532 scopus 로고    scopus 로고
    • Nonlinearities in the output inflation relationship. Some empirical results for Canada
    • Working Paper 98-14, Bank of Canada
    • Dupasquier, C., Richets, N., 1998. Nonlinearities in the output inflation relationship. Some empirical results for Canada. Working Paper 98-14, Bank of Canada
    • (1998)
    • Dupasquier, C.1    Richets, N.2
  • 7
    • 0002158185 scopus 로고    scopus 로고
    • Testing the adequacy of smooth transition autoregressive models
    • Eitrheim Ø. Teräsvirta T. Testing the adequacy of smooth transition autoregressive models J. Econometrics 74 1996 7-18
    • (1996) J. Econometrics , vol.74 , pp. 7-18
    • Eitrheim, Ø.1    Teräsvirta, T.2
  • 8
    • 0006202177 scopus 로고    scopus 로고
    • Is the short-term Phillips curve nonlinear? Empirical evidence from Australia, Sweden and the United States
    • Working Paper, Stockholm School of Economics
    • Elliason, A.C., 1999. Is the short-term Phillips curve nonlinear? Empirical evidence from Australia, Sweden and the United States. Working Paper, Stockholm School of Economics
    • (1999)
    • Elliason, A.C.1
  • 9
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for an autoregressive unit root
    • Elliot G. Rothenberg T. Stock J.H. Efficient tests for an autoregressive unit root Econometrica 64 1996 813-836
    • (1996) Econometrica , vol.64 , pp. 813-836
    • Elliot, G.1    Rothenberg, T.2    Stock, J.H.3
  • 10
    • 38249010034 scopus 로고
    • Forecasting turning points - Is there a two-state characterization of the business cycle appropriate?
    • Emery K.M. Koening E.F. Forecasting turning points-Is there a two-state characterization of the business cycle appropriate? Econ. Lett. 39 1992 431-435
    • (1992) Econ. Lett. , vol.39 , pp. 431-435
    • Emery, K.M.1    Koening, E.F.2
  • 11
    • 84977702570 scopus 로고
    • The term structure as a predictor of real economic activity
    • Estrella A. Hardouvelis G.A. The term structure as a predictor of real economic activity J. Finance 2 1991 555-576
    • (1991) J. Finance , vol.2 , pp. 555-576
    • Estrella, A.1    Hardouvelis, G.A.2
  • 12
    • 0039066423 scopus 로고    scopus 로고
    • Predicting US recessions: Financial variables as leading indicators
    • Estrella A. Mishkin F.S. Predicting US recessions: financial variables as leading indicators Rev. Econ. Stat. 80 1998 45-61
    • (1998) Rev. Econ. Stat. , vol.80 , pp. 45-61
    • Estrella, A.1    Mishkin, F.S.2
  • 13
    • 84931163719 scopus 로고
    • Further evidence on the asymmetric behavior of economic time series over the business cycle
    • Falk B. Further evidence on the asymmetric behavior of economic time series over the business cycle J. Political Economy 94 1986 1097-1109
    • (1986) J. Political Economy , vol.94 , pp. 1097-1109
    • Falk, B.1
  • 14
    • 21344459751 scopus 로고    scopus 로고
    • Credit rationing and threshold effects in the relation between money and output
    • Galbraith J. Credit rationing and threshold effects in the relation between money and output J. Appl. Econometrics 11 1996 419-429
    • (1996) J. Appl. Econometrics , vol.11 , pp. 419-429
    • Galbraith, J.1
  • 17
    • 0001353625 scopus 로고    scopus 로고
    • Impulse response analysis in nonlinear multivariate models
    • Koop G. Pesaran M.H. Potter S.M. Impulse response analysis in nonlinear multivariate models J. Econometrics 74 1996 119-147
    • (1996) J. Econometrics , vol.74 , pp. 119-147
    • Koop, G.1    Pesaran, M.H.2    Potter, S.M.3
  • 18
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
    • Kwiatkowski D. Phillips P.C. Schmidt P. Shin Y. Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root? J. Econometrics 54 1992 159-178
    • (1992) J. Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.2    Schmidt, P.3    Shin, Y.4
  • 19
    • 0000140166 scopus 로고
    • Long-term memory in stock market prices
    • Lo A.W. Long-term memory in stock market prices Econometrica 5 1991 1279-1313
    • (1991) Econometrica , vol.5 , pp. 1279-1313
    • Lo, A.W.1
  • 20
    • 0000894103 scopus 로고
    • Testing linearity against smooth transition autoregressive models
    • Lüükkonen R. Saikkonen P. Teräsvirta T. Testing linearity against smooth transition autoregressive models Biometrika 75 1988 491-499
    • (1988) Biometrika , vol.75 , pp. 491-499
    • Lüükkonen, R.1    Saikkonen, P.2    Teräsvirta, T.3
  • 21
    • 0001636028 scopus 로고
    • Testing linearity of economic time series against smooth cyclical asymmetry
    • Lüükkonen R. Teräsvirta T. Testing linearity of economic time series against smooth cyclical asymmetry Ann. d'Economie et de Stat. 20/21 1991 125-142
    • (1991) Ann. D'Economie et de Stat. , vol.20 , Issue.21 , pp. 125-142
    • Lüükkonen, R.1    Teräsvirta, T.2
  • 23
    • 43549096463 scopus 로고
    • Are economic time series asymmetric over the business cycle?
    • Neftçi S. Are economic time series asymmetric over the business cycle? J. Political Economy 92 1984 307-308
    • (1984) J. Political Economy , vol.92 , pp. 307-308
    • Neftçi, S.1
  • 25
    • 77956888124 scopus 로고
    • Testing for a unit root in a time series regression
    • Phillips P.C. Perron P. Testing for a unit root in a time series regression Biometrika 75 1988 335-346
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.1    Perron, P.2
  • 26
    • 84983904693 scopus 로고
    • A nonlinear approach to US GDP
    • Potter S.M. A nonlinear approach to US GDP J. Appl. Econometrics 10 1995 109-125
    • (1995) J. Appl. Econometrics , vol.10 , pp. 109-125
    • Potter, S.M.1
  • 27
    • 0039120736 scopus 로고    scopus 로고
    • Time irreversibility and business cycle asymmetry
    • Ramsey J.B. Rothman P. Time irreversibility and business cycle asymmetry J. Money Credit Banking 28 1996 1-21
    • (1996) J. Money Credit Banking , vol.28 , pp. 1-21
    • Ramsey, J.B.1    Rothman, P.2
  • 28
    • 84981594177 scopus 로고
    • LM test for a unit root in the presence of deterministic trends
    • Schmidt P. Phillips P.C. LM test for a unit root in the presence of deterministic trends Oxf. Bull. Econ. Stat. 54 1992 257-287
    • (1992) Oxf. Bull. Econ. Stat. , vol.54 , pp. 257-287
    • Schmidt, P.1    Phillips, P.C.2
  • 29
    • 21344495687 scopus 로고
    • Inventories and the three phases of the business cycle
    • Sichel D.E. Inventories and the three phases of the business cycle J. Business Econ. Stat. 12 1994 269-277
    • (1994) J. Business Econ. Stat. , vol.12 , pp. 269-277
    • Sichel, D.E.1
  • 30
    • 0000342340 scopus 로고
    • Credit rationing in markets with imperfect information
    • Stiglitz J.A. Weiss A. Credit rationing in markets with imperfect information Am. Econ. Rev. 71 1981 393-410
    • (1981) Am. Econ. Rev. , vol.71 , pp. 393-410
    • Stiglitz, J.A.1    Weiss, A.2
  • 31
    • 0000076932 scopus 로고
    • New indexes of coincident and leading economic indicators
    • Stock J.H. Watson M.W. New indexes of coincident and leading economic indicators NBER Macro-Econ. Ann. 1989 351-409
    • (1989) NBER Macro-Econ. Ann. , pp. 351-409
    • Stock, J.H.1    Watson, M.W.2
  • 32
    • 84923053681 scopus 로고
    • Specification, estimation and evaluation of smooth transition autoregressive models
    • Teräsvirta T. Specification, estimation and evaluation of smooth transition autoregressive models J. Am. Statistical Assoc. 89 425 1994 208-218
    • (1994) J. Am. Statistical Assoc. , vol.89 , Issue.425 , pp. 208-218
    • Teräsvirta, T.1
  • 33
    • 84986414326 scopus 로고
    • Characterizing nonlinearities in business cycles using smooth transition autoregressive models
    • Teräsvirta T. Anderson H.M. Characterizing nonlinearities in business cycles using smooth transition autoregressive models J. Appl. Econometrics 1992 119-136
    • (1992) J. Appl. Econometrics , pp. 119-136
    • Teräsvirta, T.1    Anderson, H.M.2
  • 35
    • 0033416447 scopus 로고    scopus 로고
    • Modeling multiple regimes in the business cycle
    • van Dijk D. Franses P.H. Modeling multiple regimes in the business cycle Macroecon. Dyn. 3 1999 311-340
    • (1999) Macroecon. Dyn. , vol.3 , pp. 311-340
    • van Dijk, D.1    Franses, P.H.2
  • 37
    • 0039770555 scopus 로고    scopus 로고
    • Variability in the effects of monetary policy on economic activity
    • Wong K.F. Variability in the effects of monetary policy on economic activity J. Money Credit Banking 2000 179-198
    • (2000) J. Money Credit Banking , pp. 179-198
    • Wong, K.F.1
  • 38
    • 0004024963 scopus 로고    scopus 로고
    • Downward nominal rigidity and monetary policy
    • Working Paper, Bank of England
    • Yates, A., 1998. Downward nominal rigidity and monetary policy. Working Paper, Bank of England
    • (1998)
    • Yates, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.