Previous studies have investigated asymmetries in the effects of monetary policy on the real economic activity by using either vector autoregressive (VAR)‐based regime‐switching models with smooth transition technique or Gaussian functions to parameterise the dynamic effects of structural shocks on the economy. These kinds of VAR models assume asymmetry as a short‐run relationship between the series since the long‐run neutrality hypothesis of money states that monetary policy can only affect productive capacity of the economy in the short run, but not in the long run. The recent theoretical literature shows that this hypothesis is not quite right. Thus, this paper examines the extent to which monetary policy has a long‐run asymmetric effect on output in a number of Organisation for Economic Co‐operation and Development countries by using a nonlinear hidden cointegration analysis within a likelihood‐based panel framework. The findings indicate that there is a long‐run relationship between the real interest rate as an indicator of monetary policy and the growth rate of real output in five countries out of nine under review. This gives support for the view that output has responded asymmetrically to the real interest rate changes. The economic implication of our results is that monetary policy affects positive and negative output fluctuations differently.

中文翻译：

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货币政策和产出波动的有效性：非对称分析

以前的研究通过使用基于向量自回归 (VAR) 的政权转换模型和平滑过渡技术或高斯函数来参数化结构性冲击对经济的动态影响，研究了货币政策对实体经济活动影响的不对称性。由于货币的长期中性假设指出货币政策只能在短期内影响经济的生产能力，而在长期内不会影响经济体的生产能力，因此这类 VAR 模型将不对称性假设为序列之间的短期关系。最近的理论文献表明，这个假设并不完全正确。因此，本文通过在基于似然的面板框架内使用非线性隐藏协整分析，研究了货币政策对一些经济合作与发展组织国家的长期不对称影响的程度。调查结果表明，在被审查的九个国家中，有五个国家的实际利率作为货币政策指标与实际产出增长率之间存在长期关系。这支持了产出对实际利率变化的反应不对称的观点。我们结果的经济含义是货币政策对正负产出波动的影响不同。调查结果表明，在被审查的九个国家中，有五个国家的实际利率作为货币政策指标与实际产出增长率之间存在长期关系。这支持了产出对实际利率变化的反应不对称的观点。我们结果的经济含义是货币政策对正负产出波动的影响不同。调查结果表明，在被审查的九个国家中，有五个国家的实际利率作为货币政策指标与实际产出增长率之间存在长期关系。这支持了产出对实际利率变化的反应不对称的观点。我们结果的经济含义是货币政策对正负产出波动的影响不同。