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

Abstract

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Monetary policy before and after the euro: evidence from Greece

“…These are consistent with theoretical models of monetary policy where the monetary authority has a quadratic loss function specified in terms of inflation and output as in Svensson (1997) and Ball (1999). 3 We extend the analysis by HH, however, by allowing for the more complex decision-making process captured by non-linear reaction functions accounting for output gap effects such as those found by Bec et al (2002) and Surico (2003Surico ( , 2006. These correspond to theoretical models of monetary policy as in Orphanides and Wieldand (2000) where the policy-maker's loss function is a function of different kinds of economic shocks.…”

“…In this paper we focus on one of the small EMU economies, Greece, whose pre-and post-euro inflation and growth performance are markedly different from those of Germany. Our analysis extends the one by HH as it also allows for the more complex monetary policy decision-making process accounting for output gap effects such as those identified by Bec et al (2002) and Surico (2003Surico ( , 2006) captured using non-linear models such as those used in Martin and Milas (2004).…”

“…We now seek further insights about the conduct of Greek monetary policy in the 1990s by testing for non-linearities in interest rates relating to the output gap such as those found by Bec et al (2002) and Surico (2003Surico ( , 2006. 18 More specifically we estimate:…”

Forecasting monetary policy rules in South Africa

“…The nonlinear function t can take a number of speci…cations. It could take a threshold speci…cation where the authorities would behave linearly but with di¤erent speeds of response depending on the value of a given variable (Bec et al 2002). The nonlinear function can be smooth rather than discrete and can allow the response of the interest rate to di¤er between the two in ‡ation regimes; de ‡ationary and in ‡ationary:…”

Testing for Asymmetries in the Preferences of the Euro-Area Monetary Policymaker

“…Most of this research has focused on the estimation of non-linear policy reaction functions (for a variety of samples and with a variety of non-linear specifications) exploiting the well-known result that if an asymmetry in central bank F o r P e e r R e v i e w 5 preferences exists, then the optimal policy rule is non-linear -see Bec et al (2002), Kim et al (2005), Cukierman and Muscatelli (2002), Martin and Milas (2004), Karagedikli and Lees (2004), and Bruinshoofd and Candelon (2005).…”