Asymmetric monetary policy effects in Germany

Arbeitspapier

In a small structural model we find asymmetries in the effects of monetary policy in Germany depending on whether the economy is in an upswing or a downswing. These two different regimes are also identified using a Markov-switching model and the Kalman filter. Our results indicate that the effects of monetary policy are significantly higher in a downswing than in an upswing. It follows not only that monetary policy has to raise interest rates markedly if an economy is overheating but also that once a downturn is discernible, interest rates have to be lowered rapidly so as to prevent an overly large reaction of the real economy.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DIW Discussion Papers ; No. 397

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Business Fluctuations; Cycles ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation
• Subject: Asymmetry ; monetary policy ; Markov switching ; structural model ; Geldpolitik ; Konjunktur ; Schätzung ; Deutschland ; Markov switching

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Tober, Silke ; Kuzin, Vladimir N.
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2004

Further information

• Handle: http://hdl.handle.net/10419/18094
• Last update: 10.03.2025, 11:41 AM CET