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

Author

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  • Bec Frédérique

    (CREST–ENSAE)

  • Ben Salem Mélika

    (CRIEF-Université de Poitiers and Eurequa, Université de Paris I)

  • Collard Fabrice

    (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.

Suggested Citation

  • Bec Frédérique & Ben Salem Mélika & Collard Fabrice, 2002. "Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(2), pages 1-22, July.
    • Handle: RePEc:bpj:sndecm:v:6:y:2002:i:2:n:3
    DOI: 10.2202/1558-3708.1006
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    References listed on IDEAS

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    4. Athanasios Orphanides, 2001. "Monetary Policy Rules Based on Real-Time Data," American Economic Review, American Economic Association, vol. 91(4), pages 964-985, September.
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    6. Dolado, Juan J & María-Dolores, Ramón & Naveira Barrero, Manuel, 2000. "Asymmetries In Monetary Policy Rules: Evidence For Four Central Banks," CEPR Discussion Papers 2441, C.E.P.R. Discussion Papers.
    7. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-491, June.
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