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

Frédérique Bec (1) , Mélika Ben Salem (2, 3) , Fabrice Collard (4, 5)

1 CREST - Centre de Recherche en Économie et Statistique
2 Université Gustave Eiffel
3 CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière
4 GREMAQ - Groupe de recherche en économie mathématique et quantitative
5 IDEI - Institut d'Economie Industrielle

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.

Domains: Economics and Finance

Frédérique Bec, Mélika Ben Salem, Fabrice Collard. Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks. Studies in Nonlinear Dynamics and Econometrics, 2002, 6 (2), ⟨10.2202/1558-3708.1006⟩. ⟨hal-04176268⟩