Testing for asymmetries in the preferences of the euro-area monetary policymaker

Aguiar, A. Pedro; Martins, Manuel M. F.

doi:10.1080/00036840600870999

Cited by 25 publications

(16 citation statements)

References 19 publications

(8 reference statements)

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“…For example, in technical terms, the model assumes that the ECB has a symmetric loss function. This assumption can be questioned on the ground that results of recent research emphasize potential asymmetries in central bankers loss function (Ruge‐Murcia, 2003; Aguiar and Martins, 2008). 16…”

Section: Discussionmentioning

confidence: 99%

Does the Ecb Have a Time‐inconsistency Problem? A Note

Pierdzioch

Stadtmann

2011

Scottish J Political Eco

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A standard time‐inconsistency model of monetary policy, extended to include a time‐varying natural rate of unemployment, implies cointegration between the inflation rate and the unemployment rate. An application of the model to data for the EMU countries does not yield strong evidence of cointegration. In addition, the sign of the estimated coefficient of cointegration is not in line with a sign restriction imposed by the time‐inconsistency model.

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Section: Discussionmentioning

confidence: 99%

Does the Ecb Have a Time‐inconsistency Problem? A Note

Pierdzioch

Stadtmann

2011

Scottish J Political Eco

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“…In the us, the preference is timevarying. Aguiar and Martins (2008) study the asymmetric preference to inflation, output, and interest rate and find the relevance of the inflation avoidance preference. Particularly, monetary authorities in the Euro area put a weight of double size on the inflation rate above 2 percent.…”

Section: Empirical Studies Of a Nonlinear Taylor Rulementioning

confidence: 99%

“…In fact, the Taylor rule is nonlinear because of either a nonlinear Phillips curve (Bec et al, 2002;Dolado et al, 2005;A. Nobay and Peel, 2000;schaling, 2004) or an asymmetric preference to negative and positive shocks of inflation and output gap (Aguiar and Martins, 2008;Bec et al, 2002;caglayan et al, 2016;Dolado et al, 2004;Komlan, 2013;A. R. Nobay and Peel, 2003;surico, 2007;Tawadros, 2016Tawadros, , 2020.…”

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confidence: 99%

Asymmetry in the Reaction Function of Monetary Policy in Emerging Economies

Bui¹,

Kiss²

2020

PFQ

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The Taylor rule is an important device to study the behavior of the central bank. Conventionally, the Taylor rule is constructed by optimizing a quadratic loss function with the constraint of a linear economic system. Accordingly, the response of interest rate is linear with respect to the sign of inflation gap and output gap. In practice, however, monetary authorities in emerging economies can depart from the linear-quadratic framework. The objective of this paper is to investigate the nonlinearity of the Taylor rule driven by either a nonlinear Phillips curve or an asymmetric preference. We use the generalized method of moments (GMM) method to investigate these asymmetries in twelve emerging economies targeting inflation. The empirical results show that deflation pressure caused by economic recessions has a stronger effect on the interest rate. Moreover, the recession avoidance preference is strong in emerging economies whereas the inflation avoidance preference only emerges in a few emerging economies such as Brazil, Colombia, Hungary, Philippines, and

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“…Impressively, the asymmetry of monetary policy is wildly and deeply discussed (e.g. De Meza and Webb, 1987;Caballero and Engel, 1993;Ball and Mankiw, 1994;Aguiar and Martins, 2008;Cukierman and Muscatelli, 2008;Karras, 2013). Roughly speaking, there are some perspectives that theoretically and/or empirically explain for the asymmetry of monetary policy -such as a convex aggregate supply, credit constraints, menu costs, business cycles, the preference of monetary policymakers and so on.…”

Section: The Asymmetric Effect Of Monetary Policy On Banks' Income DImentioning

confidence: 99%

Monetary Policy and the Diversification–Profitability Linkage in Banking: Evidences from Emerging Market Economies

Chen

Zeng

2014

South African J Economics

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In previous studies, the stance of monetary policy is proven to associate with banking profitability or activities. This paper provides empirical evidence aiming at the influence of monetary policy, including stances of expansionary and contractionary monetary policies, on the relationship between banks' income diversification and their profitabilities in emerging market economies. We find the significant evidence that expansionary monetary policies can raise banks' diversification efforts, whereas contractionary monetary policies weaken the efforts of banking diversification, for which our most robustness tests support these findings. There are some relevant implications and suggestions for bank managers and policymakers. JEL Classification: G21, G28, C23

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Testing for asymmetries in the preferences of the euro-area monetary policymaker

Cited by 25 publications

References 19 publications

Does the Ecb Have a Time‐inconsistency Problem? A Note

Does the Ecb Have a Time‐inconsistency Problem? A Note

Asymmetry in the Reaction Function of Monetary Policy in Emerging Economies

Monetary Policy and the Diversification–Profitability Linkage in Banking: Evidences from Emerging Market Economies

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