خلاصة:
This paper investigates the asymmetric effects of monetary policy on economic growth over business cycles in Iran. Estimating the models using the Hamilton (1989) Markov-switching model and by employing the data for 1960-2012, the results well identify two regimes characterized as expansion and recession. Moreover, the results show that an expansionary monetary policy has a positive and statistically significant effect on economic growth during recession, in expansionary regimes while the effects are stronger during recessions than expansions as predicted by finance constraints models. By using time-varying transition probability Markov-switching models, the results also show that an expansionary monetary policy raises the probability of switching from a recession to an expansion but reduces the probability of switching from an expansion to a recession.
ملخص الجهاز:
"Section 4 reports the empirical results regarding the potentially asymmetric effects of monetary policy across business cycles and whether monetary policy affects the transition probability of switching between regimes.
Using Markov-switching models and US quarterly data Ravn and Sola (1997, 2004) analysed big versus small monetary policy shocks and found that big shocks are neutral but small shocks have real effects, confirming the asymmetry related to the size of money-supply shocks.
Utilizing a time-varying transition probability (TVTP) Markov- switching model Lo and Piger (2005), could not find any strong evidence of asymmetry related to the size of monetary policy.
By employing the Markov-switching model, Aragon and Portugal (2009) examined asymmetric effects of positive and negative monetary policy shocks over business cycle in Brazil.
Tan and Habibullah (2007) also employed the Markov-switching models and found that monetary policy has stronger effects on output during recessions than booms in four ASEAN economies: Indonesia, Malaysia, the Philippines and Thailand.
In the case of Iran, Fardar (2003) employed the ordinary least square approach and found that negative monetary policy shocks had a significant impact on economic growth in recessions and expansions.
(2012) analysed the asymmetric effects of positive and negative monetary shocks on real GDP using Markov-switching models for the period 1989-2008.
Using modified versions of the Markov-switching model developed by Hamilton (1989), this paper has presented a positive effect of an expansionary monetary policy on the growth rate of real output."