Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model
研究美国产出对货币政策行动的反应是否存在体制转换，发现衰退期的政策效果显著大于扩张期，而政策方向或大小的影响不对称性证据较弱。
This paper investigates regime switching in the response of U.S. output to a monetary policy action. We find substantial, statistically significant, time variation in this response that corresponds to "high response" and "low response" regimes. We then investigate whether the timing of the regime shifts are consistent with three particular manifestations of asymmetry by modeling the transition probabilities governing the switching process as functions of state variables. We find strong evidence that policy actions taken during recessions have larger effects than those taken during expansions. We find less evidence of asymmetry related to the direction or size of the policy action.