| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10083 |
| DP10083 The Transmission Mechanism in Good and Bad Times | |
| Haroon Mumtaz; Paolo Surico | |
| 发表日期 | 2014-07-27 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Macroeconomics |
| 关键词 | Asymmetric transmission mechanism Consumption State-dependence |
| URL | https://cepr.org/publications/dp10083 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538916 |
| 推荐引用方式 GB/T 7714 | Haroon Mumtaz,Paolo Surico. DP10083 The Transmission Mechanism in Good and Bad Times. 2014. |
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