The transmission mechanism in good and bad times

Mumtaz, H and Surico, P (2015) The transmission mechanism in good and bad times. International Economic Review, 56 (4). pp. 1237-1260. ISSN 0020-6598 OPEN ACCESS


Does the transmission of economic policies and structural shocks vary with the state of the economy? We answer this question using a strategy based on quantile regressions, which account for both endogeneous regressors and state-dependent parameters. An application to U.S. real activity and interest rate reveals pervasive asymmetries in the propagation mechanism of economic disturbances across good and bad times. During periods in which real activity is above its conditional average, the estimates of the degree of forward-lookingness and interest rate semi-elasticity are significantly larger (in absolute value) than the estimates associated with below-average periods. Results are robust to alternative estimation strategies to model state-dependent parameters.

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Item Type: Article
Subject Areas: Economics
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© 2015 John Wiley & Sons, Inc.

Date Deposited: 02 Mar 2016 18:51
Date of first compliant deposit: 12 Feb 2021
Last Modified: 23 Apr 2024 00:44

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