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THE ASYMMETRIC EFFECTS OF MONETARY POLICY SHOCKS

Yıl 2009, Cilt: 10 Sayı: 2, 65 - 90, 01.06.2009

Etem Hakan Ergeç

Öz

The effect of monetary policy can be asymmetric. In economic theory three types of asymmetric effects of monetary policy have been described. They are positive and negative shocks asymmetry, small and big shocks asymmetry, and state asymmetry. In the literature, major causes for the asymmetry are rigidity of prices and wages, capacity utilization, expectation, and credit markets. This paper analyzes the causes and the mechanisms of asymmetric effects of monetary policy. 

Anahtar Kelimeler

Asymmetric effects monetary policy shocks monetary policy

Kaynakça

  • Agénor, Pierre-Rchard. (April 2001). “The Asymmetric Effects of Monetary
  • macroprogram/agenor/pdfs/Asym -VARs.pdf .
  • http://www1.worldbank.org/wbiep/ Atanasova, Christina. (2003). “Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach”, Studies in Nonlinear Dynamics and Econometrics, Vol. 7, issue 4: 516-536.
  • Ball, Laurence and M. Mankiw. (1994).“Asymmetric Price Adjustment and Economic Fluctuations,” Economic Journal, 104: 247-261.
  • Ball, Laurence and David, Romer. (1990). “Real Rigidities and the Non-Neutrality of Money,” The Review of Economics Statistics, Vol. 57: 183-203.
  • Balke, Nathan S. (2000). “Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks,” The Review of Economics Statistics, 82: 344-349.
  • Bernanke Ben S. and Alan S. Blinder. (1992). “The Federal Funds Rate and The Channels of Monetary Transmission,” The American Economic Review, Vol. 82, No. 4: 901-921.
  • Bernanke, Ben S. and Mark, Getrler. (1989). “Agency Cost, Net Worth and Business Fluctuations,” American Economic Review, Vol. 79, No 1: 13-31.
  • Bernanke, Ben S, Mark, Getrler and S. Gilchrist. (Fabruary, 1996). “The Financial Accelerator and Flight to Quality,” The Review Economics and Statistic, Vol. 78: 1-15.
  • Barro, Robert J. (1997). “Unanticipated Money Growth and Unemployment in the United States,” American Economic Review, Vol. 67: 247-261.
  • Caballero, Ricardo J. and Eduardo M.R.A., Engel. (1992). “Price Rigidities, Asymmetries and Output Fluctuations,” Working Paper, NBER, No. 4091.
  • Calomiris, Charles W. and R. Glenn, Hubbard. (March, 1990). “Firm Heterogeneity, Internal Finance and Credit Rationing,” The Economic Journal, Vol. 100: 90-104.
  • Claus, Iris and Arthur, Grimes. (September, 2003). “Asymmetric Information, Financial Intermediation and the Monetary Transmission Mechanism: A Critical Review,” New Zealand Treasury Working Paper 03/19.
  • Cover, James Peery. (Nov. 1992). “Asymmetric Effects of Possitive and Negative Money-Supply Shocks,” The Quarterly Journal of Economics Vol.107, No.4: 1261-1282.
  • De Long, B. Summers. L., Lawrence. H., Mankiw. N., Gregory. and Chiristina D., Romer. (1988). “How Does Macroeconomic Policy Affect Output,” Brooking Papers on Economic Activity, Vol. 1988, No. 2: 433-494.
  • Demery, David. and Duck, Nigel. (Winter 2000) “Asymmetric Effects of Aggregate Demand: An Empirical Test of a Menu-Cost Model,” Journal of Macroeconomics, Vol. 22, No. 1: 14-23.
  • Dressler, Scott. (Febuary,2004). “The Asymmetry of the Bank Lending Channel,” http://www.eco.utexas.edu/~dressler/_private/ blcfin.pdf.
  • Evens, Paul. (Spring 1986). “Does the Potency of Monetary Policy Vary with Capacity Utilization?,” Carnegie-Rochester Conference Series on Public Policy, 24.
  • Farmer, R. E. (1988). “Money and Contrats,” Review of Economic Studies, Vol. 55, No. 3: 431-446.
  • Florio, Anna. (2004). “The Asymmetric Effects of Monetary Policy,” Journal of Economic Surveys, Vol. 18, No. 3: 409-426.
  • Friedman, Milton. and A. Jacobson, Shwartz. (1990). A Monetary History of The United States, Random Hause, New York, Eight Paperback Printing.
  • Garcia, René. and Huntley, Schaller. (July, 1999). “Are the Effects of Monetary Policy Asymmetric?,” Carleton Economic Papers, No. 99-17.
  • Garibaldi, Pietro. (April, 1997). “The Asymmetric Effects of Monetary Policy on Job Creation and Destruction,” IMF Working Paper, No. 97/57. Gertler, Mark. (1992). “Financial Capacity and Output Fluctuations in an Economy Period Financial Relationships”, Review of Economics Statistics, Vol. 59: 455-472.
  • Gür, Ekin Toksöz. (2003). “Kredi Kanalının Etkin Çalışması ve Türkiye Uygulaması”, Yayınlanmamış Uzmanlık Yeterlilik Tezi. Türkiye Cumhuriyeti Merkez Bankası Bankacılık ve Finansal Kuruluşlar Genel Müdürlüğü.
  • Holmes, J. Mark. Wang, Ping. (Agust 2000). “Do Monetary Shoks Exert Nonlinear Reel Effects on UK Industrial Production?” Business Cycle Volatility and Economic Growth Research Paper, No. 00-4.
  • Hubbard, R. Glenn. (March, 1998). “Capital-Market Imperfections and Investment,” Journal of Economic Literature, Vol. 36: 193-225.
  • Jackman, Richard. and John, Sutton. (March, 1982). “Imperfect Capital Markets and the Monaterist Black Box: Liquidity Constraints, Inflation and the Asymmetric Effects of Interest Rate Policy,” The Economic Journal, Vol. 92: 108-128.
  • Kakes, Jan. (1998). "Monetary Transmission and Business Cycle Asymetry," Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  • Kandil, Magda. (1995). “Asymetric Nominal Flexibility and Economic Fluctuation,” Southern Economic Journal, Vol. 61, no. 3: 674-695.
  • Kandil, Magda. (April, 2002). “Asymmetry in the Effects of Monetary and Government Spending Shocks: Contrasting Evidence and Implications,” Economic Inquiry, Vol.40, No. 2: 288-313.
  • Karame, F. and A., Olmedo. (August, 2002). “The Asymmetric Effects of Monetary Policy Shocks: A Nonlinear Structural VAR Approach,” Econometric Society 57. European Meeting: Italy.
  • Karras, Georgias. and Houston H., Stokes. (b) (1999). “On The Asymmetric Effects of Money-supply Shocks: International Evidence from a Panel of OECD Countries,” Applied Economics, 31: 227-235.
  • Kashyap, A., J. C., Stein. and D.W., Wilcox. (1993). “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance,” American Economic Review, Vol. 83, No. 1: 78-98.
  • Kato, Ryo. Ui, Takashi and Tsutomu, Watanabe. (1999). “Asymmetric Effects of Monetary Policy: Japanese Experience in the 1990,” Working Paper, Reserch and Statistics Department Bank of Japan, No. 99-2.
  • Kaufmann, Sylvia. (2002). “Is there an Asymmetric Effect of Monetary Policy over Time? A Bayesian Analysis Using Austrian Data,” Empirical Economics, Vol. 27: 277-297.
  • Macklem, Tiff. Alain, Paquet. and Louis, Phaneuf. (Agust, 1996). “Asymmetric Effets of Monetary Policy: Evidence from the Yield Curve,” Centre for Research on Economic Fluctuations and Employment (CREFE) Working Papaer, No. 42.
  • Malone, M. Stokes. (July, 2000). “An Investigation of Money Supply Shock Asymmetry Using Disaggregate Data,” Department of Economics East Carolina Universty M.S. Research Paper.
  • Mankiw, N. Gregory. and David H., Romer. (1991). New Keynesian Economics, MIT Pres.
  • Masuhara, Kouki. (January, 2003). “Dynamic Analysis of Financial Constraints and Effect of Interest Rate Channel,” Workshops.
  • Mayer, Thomas. (1968). Monetary Policy in the United States, Random Hause, New York.
  • Mayer, Thomas. James S., Duesenberry. and Robert Z., Aliber. (1990). Money, Banking, and the Economy, W.W. Norton, New York.
  • Mishkin, Fredric S. (1982). “Does Anticipated Policy Matter? An Economic Investigation,” Journal of Political Economy, Vol. 90, Issue 1: 22-51.
  • Morgan, Donalp P. (1993). “Asymmetric Effects of Monetary Policy,” Federal Reserve Bank of Kansas City Economic Review, Vol. 78, no. 2: 21-33.
  • Parker, Randall E. and Philip, Rothman. (May, 2003). “An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre-World War I and Interwar Periods,” Working Paper East Carolina University, Department of Economics.
  • Peersman, Gert and Frank, Smets. (2002). “Are the Effects of Monetary Policy inthe Euro Area Greather in Recessions than in Booms?” Monetary Transmission in Diverse Economies. Edited by Lavan Mahadeva and Peter Sinclair, Cambridge Universtity Pres.
  • Ravn, Morten O. and Martin, Sola. (1999). “A Reconsideration of the Emprical Evidence on the Asymmetric Effects of Money-supply shocks: Positive vs. Negative or Big vs. Small?,” Working Paper Universitat Pompeu Fabra.
  • Rhee, Wooheon. (Winter 1995). “Asymmetric Effects of Money on Inflation: Evidence From Korean Data,” International Economic Journal, Vol. 9, No. 4: 31- 43.
  • Rhee, Wooheon. and R., Rich. (1995). “Inflation and the Asymmetric Effects of Money on Output Fluctuations,” Journal of Macroeconomics, Vol. 17, Issue, 4: 683-792.
  • Senda, Takashi. (Febuary, 2001). “The Asymmetric Effects of Money Supply Shocks and Trend Inflation,” The Journal of Money Credit and Banking, Vol. 33, No. 1:65-89.
  • Thoma, M. (1994). “Subsample Instability and Asymmetries in Money- Income Causality,” Journal of Econometrics, Vol. 64: 279-306.
  • Tsiddon, Daniel. (1993). “The (Mis) Behaviour of the Aggregate Price Level,” Review of Economic Studies, Vol. 60: 889-902.
  • Weise, C. (1999). “The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach,” The Journal of Money Credit and Banking, Vol. 31, No. 1: 85-108.

Para Politikası Şoklarının Asimetrik Etkileri

Yıl 2009, Cilt: 10 Sayı: 2, 65 - 90, 01.06.2009

Etem Hakan Ergeç

Öz

Para politikası şokları ekonomi üzerinde asimetrik etkilere neden olabilmektedir. Pozitif ve negatif şok asimetrisi, büyük ve küçük şok asimetrisi ve durum asimetrisi olmak üzere, teoride tanımlanan üç tip asimetrik etki bulunmaktadır. Bu asimetri türlerini incelemeye yönelik yapılan çalışmalarda, fiyat ve ücret yapışkanlıkları, kapasite kullanımının durumu, geleceğe yönelik beklentiler ve kredi kullanımının durumu olmak üzere birçok nedenin öne çıktığı görülmektedir. Bu çalışma, bu nedenleri ve para politikasının asimetrik etkilere neden olma mekanizmalarını analiz etmektedir

Anahtar Kelimeler

Asimetrik etki para politikası şoku para politikası

Kaynakça

  • Agénor, Pierre-Rchard. (April 2001). “The Asymmetric Effects of Monetary
  • macroprogram/agenor/pdfs/Asym -VARs.pdf .
  • http://www1.worldbank.org/wbiep/ Atanasova, Christina. (2003). “Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach”, Studies in Nonlinear Dynamics and Econometrics, Vol. 7, issue 4: 516-536.
  • Ball, Laurence and M. Mankiw. (1994).“Asymmetric Price Adjustment and Economic Fluctuations,” Economic Journal, 104: 247-261.
  • Ball, Laurence and David, Romer. (1990). “Real Rigidities and the Non-Neutrality of Money,” The Review of Economics Statistics, Vol. 57: 183-203.
  • Balke, Nathan S. (2000). “Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks,” The Review of Economics Statistics, 82: 344-349.
  • Bernanke Ben S. and Alan S. Blinder. (1992). “The Federal Funds Rate and The Channels of Monetary Transmission,” The American Economic Review, Vol. 82, No. 4: 901-921.
  • Bernanke, Ben S. and Mark, Getrler. (1989). “Agency Cost, Net Worth and Business Fluctuations,” American Economic Review, Vol. 79, No 1: 13-31.
  • Bernanke, Ben S, Mark, Getrler and S. Gilchrist. (Fabruary, 1996). “The Financial Accelerator and Flight to Quality,” The Review Economics and Statistic, Vol. 78: 1-15.
  • Barro, Robert J. (1997). “Unanticipated Money Growth and Unemployment in the United States,” American Economic Review, Vol. 67: 247-261.
  • Caballero, Ricardo J. and Eduardo M.R.A., Engel. (1992). “Price Rigidities, Asymmetries and Output Fluctuations,” Working Paper, NBER, No. 4091.
  • Calomiris, Charles W. and R. Glenn, Hubbard. (March, 1990). “Firm Heterogeneity, Internal Finance and Credit Rationing,” The Economic Journal, Vol. 100: 90-104.
  • Claus, Iris and Arthur, Grimes. (September, 2003). “Asymmetric Information, Financial Intermediation and the Monetary Transmission Mechanism: A Critical Review,” New Zealand Treasury Working Paper 03/19.
  • Cover, James Peery. (Nov. 1992). “Asymmetric Effects of Possitive and Negative Money-Supply Shocks,” The Quarterly Journal of Economics Vol.107, No.4: 1261-1282.
  • De Long, B. Summers. L., Lawrence. H., Mankiw. N., Gregory. and Chiristina D., Romer. (1988). “How Does Macroeconomic Policy Affect Output,” Brooking Papers on Economic Activity, Vol. 1988, No. 2: 433-494.
  • Demery, David. and Duck, Nigel. (Winter 2000) “Asymmetric Effects of Aggregate Demand: An Empirical Test of a Menu-Cost Model,” Journal of Macroeconomics, Vol. 22, No. 1: 14-23.
  • Dressler, Scott. (Febuary,2004). “The Asymmetry of the Bank Lending Channel,” http://www.eco.utexas.edu/~dressler/_private/ blcfin.pdf.
  • Evens, Paul. (Spring 1986). “Does the Potency of Monetary Policy Vary with Capacity Utilization?,” Carnegie-Rochester Conference Series on Public Policy, 24.
  • Farmer, R. E. (1988). “Money and Contrats,” Review of Economic Studies, Vol. 55, No. 3: 431-446.
  • Florio, Anna. (2004). “The Asymmetric Effects of Monetary Policy,” Journal of Economic Surveys, Vol. 18, No. 3: 409-426.
  • Friedman, Milton. and A. Jacobson, Shwartz. (1990). A Monetary History of The United States, Random Hause, New York, Eight Paperback Printing.
  • Garcia, René. and Huntley, Schaller. (July, 1999). “Are the Effects of Monetary Policy Asymmetric?,” Carleton Economic Papers, No. 99-17.
  • Garibaldi, Pietro. (April, 1997). “The Asymmetric Effects of Monetary Policy on Job Creation and Destruction,” IMF Working Paper, No. 97/57. Gertler, Mark. (1992). “Financial Capacity and Output Fluctuations in an Economy Period Financial Relationships”, Review of Economics Statistics, Vol. 59: 455-472.
  • Gür, Ekin Toksöz. (2003). “Kredi Kanalının Etkin Çalışması ve Türkiye Uygulaması”, Yayınlanmamış Uzmanlık Yeterlilik Tezi. Türkiye Cumhuriyeti Merkez Bankası Bankacılık ve Finansal Kuruluşlar Genel Müdürlüğü.
  • Holmes, J. Mark. Wang, Ping. (Agust 2000). “Do Monetary Shoks Exert Nonlinear Reel Effects on UK Industrial Production?” Business Cycle Volatility and Economic Growth Research Paper, No. 00-4.
  • Hubbard, R. Glenn. (March, 1998). “Capital-Market Imperfections and Investment,” Journal of Economic Literature, Vol. 36: 193-225.
  • Jackman, Richard. and John, Sutton. (March, 1982). “Imperfect Capital Markets and the Monaterist Black Box: Liquidity Constraints, Inflation and the Asymmetric Effects of Interest Rate Policy,” The Economic Journal, Vol. 92: 108-128.
  • Kakes, Jan. (1998). "Monetary Transmission and Business Cycle Asymetry," Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  • Kandil, Magda. (1995). “Asymetric Nominal Flexibility and Economic Fluctuation,” Southern Economic Journal, Vol. 61, no. 3: 674-695.
  • Kandil, Magda. (April, 2002). “Asymmetry in the Effects of Monetary and Government Spending Shocks: Contrasting Evidence and Implications,” Economic Inquiry, Vol.40, No. 2: 288-313.
  • Karame, F. and A., Olmedo. (August, 2002). “The Asymmetric Effects of Monetary Policy Shocks: A Nonlinear Structural VAR Approach,” Econometric Society 57. European Meeting: Italy.
  • Karras, Georgias. and Houston H., Stokes. (b) (1999). “On The Asymmetric Effects of Money-supply Shocks: International Evidence from a Panel of OECD Countries,” Applied Economics, 31: 227-235.
  • Kashyap, A., J. C., Stein. and D.W., Wilcox. (1993). “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance,” American Economic Review, Vol. 83, No. 1: 78-98.
  • Kato, Ryo. Ui, Takashi and Tsutomu, Watanabe. (1999). “Asymmetric Effects of Monetary Policy: Japanese Experience in the 1990,” Working Paper, Reserch and Statistics Department Bank of Japan, No. 99-2.
  • Kaufmann, Sylvia. (2002). “Is there an Asymmetric Effect of Monetary Policy over Time? A Bayesian Analysis Using Austrian Data,” Empirical Economics, Vol. 27: 277-297.
  • Macklem, Tiff. Alain, Paquet. and Louis, Phaneuf. (Agust, 1996). “Asymmetric Effets of Monetary Policy: Evidence from the Yield Curve,” Centre for Research on Economic Fluctuations and Employment (CREFE) Working Papaer, No. 42.
  • Malone, M. Stokes. (July, 2000). “An Investigation of Money Supply Shock Asymmetry Using Disaggregate Data,” Department of Economics East Carolina Universty M.S. Research Paper.
  • Mankiw, N. Gregory. and David H., Romer. (1991). New Keynesian Economics, MIT Pres.
  • Masuhara, Kouki. (January, 2003). “Dynamic Analysis of Financial Constraints and Effect of Interest Rate Channel,” Workshops.
  • Mayer, Thomas. (1968). Monetary Policy in the United States, Random Hause, New York.
  • Mayer, Thomas. James S., Duesenberry. and Robert Z., Aliber. (1990). Money, Banking, and the Economy, W.W. Norton, New York.
  • Mishkin, Fredric S. (1982). “Does Anticipated Policy Matter? An Economic Investigation,” Journal of Political Economy, Vol. 90, Issue 1: 22-51.
  • Morgan, Donalp P. (1993). “Asymmetric Effects of Monetary Policy,” Federal Reserve Bank of Kansas City Economic Review, Vol. 78, no. 2: 21-33.
  • Parker, Randall E. and Philip, Rothman. (May, 2003). “An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre-World War I and Interwar Periods,” Working Paper East Carolina University, Department of Economics.
  • Peersman, Gert and Frank, Smets. (2002). “Are the Effects of Monetary Policy inthe Euro Area Greather in Recessions than in Booms?” Monetary Transmission in Diverse Economies. Edited by Lavan Mahadeva and Peter Sinclair, Cambridge Universtity Pres.
  • Ravn, Morten O. and Martin, Sola. (1999). “A Reconsideration of the Emprical Evidence on the Asymmetric Effects of Money-supply shocks: Positive vs. Negative or Big vs. Small?,” Working Paper Universitat Pompeu Fabra.
  • Rhee, Wooheon. (Winter 1995). “Asymmetric Effects of Money on Inflation: Evidence From Korean Data,” International Economic Journal, Vol. 9, No. 4: 31- 43.
  • Rhee, Wooheon. and R., Rich. (1995). “Inflation and the Asymmetric Effects of Money on Output Fluctuations,” Journal of Macroeconomics, Vol. 17, Issue, 4: 683-792.
  • Senda, Takashi. (Febuary, 2001). “The Asymmetric Effects of Money Supply Shocks and Trend Inflation,” The Journal of Money Credit and Banking, Vol. 33, No. 1:65-89.
  • Thoma, M. (1994). “Subsample Instability and Asymmetries in Money- Income Causality,” Journal of Econometrics, Vol. 64: 279-306.
  • Tsiddon, Daniel. (1993). “The (Mis) Behaviour of the Aggregate Price Level,” Review of Economic Studies, Vol. 60: 889-902.
  • Weise, C. (1999). “The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach,” The Journal of Money Credit and Banking, Vol. 31, No. 1: 85-108.
Toplam 52 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Etem Hakan Ergeç Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2009
Gönderilme Tarihi 12 Aralık 2014
Yayımlandığı Sayı Yıl 2009 Cilt: 10 Sayı: 2

Kaynak Göster

APA Ergeç, E. H. (2009). Para Politikası Şoklarının Asimetrik Etkileri. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(2), 65-90.
AMA Ergeç EH. Para Politikası Şoklarının Asimetrik Etkileri. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi. Haziran 2009;10(2):65-90.
Chicago Ergeç, Etem Hakan. “Para Politikası Şoklarının Asimetrik Etkileri”. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi 10, sy. 2 (Haziran 2009): 65-90.
EndNote Ergeç EH (01 Haziran 2009) Para Politikası Şoklarının Asimetrik Etkileri. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi 10 2 65–90.
IEEE E. H. Ergeç, “Para Politikası Şoklarının Asimetrik Etkileri”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, c. 10, sy. 2, ss. 65–90, 2009.
ISNAD Ergeç, Etem Hakan. “Para Politikası Şoklarının Asimetrik Etkileri”. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi 10/2 (Haziran 2009), 65-90.
JAMA Ergeç EH. Para Politikası Şoklarının Asimetrik Etkileri. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi. 2009;10:65–90.
MLA Ergeç, Etem Hakan. “Para Politikası Şoklarının Asimetrik Etkileri”. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, c. 10, sy. 2, 2009, ss. 65-90.
Vancouver Ergeç EH. Para Politikası Şoklarının Asimetrik Etkileri. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi. 2009;10(2):65-90.