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1、AretheEffectsofMonetaryPolicyAsymmetric?RenéGarciaDépartementdescienceséconomiques,CIRANO,CRDEUniversitédeMontréalHuntleySchallerDepartmentofEconomicsCarletonUniversityJuly1999AbstractThispaperfocusesonwhethermonetarypolicyhasasymmetriceffects.BybuildingontheMarkovswitchingmodelintrodu
2、cedbyHamilton(1989),weexaminequestionslike:Doesmonetarypolicyhavethesameeffectregardlessofthecurrentphaseofeconomicfluctuations?Giventhattheeconomyiscurrentlyinarecession,doesafallininterestratesincreasetheprobabilityofanexpansion?Doesmonetarypolicyhaveanincrementaleffectonthegrowthrat
3、ewithinagivenstate,ordoesitonlyaffecttheeconomyifitissufficientlystrongtoinduceastatechange(e.g.,fromrecessiontoexpansion)?Wefindeconomicallyandstatisticallysignificantevidenceofasymmetry.Assuggestedbymodelswithstickypricesorfinanceconstraints,interestratechangeshavelargereffectsduring
4、recessions.Interestratesalsohavesubstantialeffectsontheprobabilityofastateswitch.WewouldliketothankB.Bernanke,R.Clarida,B.Greenwald,G.Mankiw,A.Melino,S.vanNorden,P.Perron,andseminarparticipantsatBoardofGovernorsoftheFederalReserveSystem,CESG,CMSG,ColumbiaUniversity,ESNAWM,theSeventhWor
5、ldCongressoftheEconometricSociety,EuropeanEconomicAssociation,NBERMonetaryEconomicsprogram,UQAM,andYorkUniversityforhelpfulcomments,theSSHRCandFCARforfinancialsupport,andPrincetonUniversityforprovidingapleasantenvironmentinwhichtocarryoutmuchofthisresearch.Addressforcorrespondence:Hunt
6、leySchaller,DepartmentofEconomics,CarletonUniversity,1125ColonelByDrive,Ottawa,Ontario,K1S5B6,CANADA,Tel:(613)788-2600ext.3751,Fax:(613)788-3906,Email:schaller@ccs.carleton.ca.1"Muchoftherecentwork[inmacroeconomics]hasproceeded...undertheassumptionthatvariablesfollowlinearstochasticpro
7、cesseswithconstantcoefficients....[Asaresult]someoftherichnessoftheBurns-Mitchellanalysis,suchasitsfocusonasymmetriesbetweenrecessionsandexpansions...maywellhavebeenlost."(BlanchardandFischer(1989),p.7.)1.IntroductionFordecadesmacroeconomistshavedebatedwhethermonetarypolicyhasthesame
