Modelling monetary transmission in UK manufacturing industry

被引：21

作者：

Tena, Juan de Dios ^{[1
,2
]}

Tremayne, A. R. ^{[3
,4
]}

机构：

[1] Univ Carlos III Madrid, Dept Estadist, Madrid 28903, Spain

[2] Univ Sassari, Dipartimento Econ Impresa & Regolamentaz, I-07100 Sassari, Italy

[3] Univ York, York YO10 5DD, N Yorkshire, England

[4] Univ New S Wales, Sydney, NSW 2052, Australia

来源：

ECONOMIC MODELLING | 2009年 / 26卷 / 05期

关键词：

Vector autoregression; Threshold models; Impulse-response functions; Sectoral disaggregration; CHANNELS; CREDIT; POLICY;

D O I：

10.1016/j.econmod.2009.04.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper studies the transmission of monetary policy to industrial output in the UK. In order to capture asymmetries, a system of threshold equations is considered. However, unlike previous research, endogenous threshold parameters are allowed to be different for each equation. Such an approach may be appealing from an economic point of view and is shown to be of importance after suitable econometric evaluation. Results show evidence of cross-sectional differences across industries and asymmetries in some sectors. These findings contribute to the debate about the importance of alternative economic theories to explain these asymmetries and support the use of a sectorally disaggregated approach to the analysis of monetary transmission. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：1053 / 1066

页数：14

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