Business cycles and monetary policy asymmetry: An investigation using Markov-switching models
This study assesses empirically the effects of monetary policy on four ASEAN economies in different states. The idea of asymmetry is being examined by using the relatively popular technique of non-linear modeling-Hamilton's Markov regime-switching model. The findings confirmed the existence of...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Published: |
ELSEVIER SCIENCE BV
2007
|
| Subjects: | |
| Online Access: | http://shdl.mmu.edu.my/3037/ |
| _version_ | 1848790216413806592 |
|---|---|
| author | TAN, S HABIBULLAH, M |
| author_facet | TAN, S HABIBULLAH, M |
| author_sort | TAN, S |
| building | MMU Institutional Repository |
| collection | Online Access |
| description | This study assesses empirically the effects of monetary policy on four ASEAN economies in different states. The idea of asymmetry is being examined by using the relatively popular technique of non-linear modeling-Hamilton's Markov regime-switching model. The findings confirmed the existence of two-regimes in all economies under study. Additionally, the null hypothesis of symmetry had been rejected in the case of the four economies and to a great extent, monetary policy was confirmed to have had larger effects during recessions. These findings, thus, may imply the important role that credit market imperfections have on a firm's investment behavior, which in turn suggests that the financial accelerator is a relevant mechanism underscoring the observed asymmetry. (c) 2007 Elsevier B.V. All rights reserved. |
| first_indexed | 2025-11-14T18:09:05Z |
| format | Article |
| id | mmu-3037 |
| institution | Multimedia University |
| institution_category | Local University |
| last_indexed | 2025-11-14T18:09:05Z |
| publishDate | 2007 |
| publisher | ELSEVIER SCIENCE BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | mmu-30372011-09-29T06:10:41Z http://shdl.mmu.edu.my/3037/ Business cycles and monetary policy asymmetry: An investigation using Markov-switching models TAN, S HABIBULLAH, M T Technology (General) QC Physics This study assesses empirically the effects of monetary policy on four ASEAN economies in different states. The idea of asymmetry is being examined by using the relatively popular technique of non-linear modeling-Hamilton's Markov regime-switching model. The findings confirmed the existence of two-regimes in all economies under study. Additionally, the null hypothesis of symmetry had been rejected in the case of the four economies and to a great extent, monetary policy was confirmed to have had larger effects during recessions. These findings, thus, may imply the important role that credit market imperfections have on a firm's investment behavior, which in turn suggests that the financial accelerator is a relevant mechanism underscoring the observed asymmetry. (c) 2007 Elsevier B.V. All rights reserved. ELSEVIER SCIENCE BV 2007-07 Article NonPeerReviewed TAN, S and HABIBULLAH, M (2007) Business cycles and monetary policy asymmetry: An investigation using Markov-switching models. Physica A: Statistical Mechanics and its Applications, 380. 297-306 . ISSN 03784371 http://dx.doi.org/10.1016/j.physa.2007.02.063 doi:10.1016/j.physa.2007.02.063 doi:10.1016/j.physa.2007.02.063 |
| spellingShingle | T Technology (General) QC Physics TAN, S HABIBULLAH, M Business cycles and monetary policy asymmetry: An investigation using Markov-switching models |
| title | Business cycles and monetary policy asymmetry: An investigation using Markov-switching models |
| title_full | Business cycles and monetary policy asymmetry: An investigation using Markov-switching models |
| title_fullStr | Business cycles and monetary policy asymmetry: An investigation using Markov-switching models |
| title_full_unstemmed | Business cycles and monetary policy asymmetry: An investigation using Markov-switching models |
| title_short | Business cycles and monetary policy asymmetry: An investigation using Markov-switching models |
| title_sort | business cycles and monetary policy asymmetry: an investigation using markov-switching models |
| topic | T Technology (General) QC Physics |
| url | http://shdl.mmu.edu.my/3037/ http://shdl.mmu.edu.my/3037/ http://shdl.mmu.edu.my/3037/ |