Description
Résumé: Depuis quelques années, certains économistes, dont Cover (1992), Ammer et Brunner (1995), Macklem, Paquet et Phaneuf (1996), tentent de déterminer si les chocs de politique monétaire ont des effets asymétriques sur la production. Ces auteurs ont généralement observé que les chocs monétaires négatifs ont tendance à réduire de façon significative la croissance de la production, alors que les chocs positifs auraient des effets plus faibles et souvent non significatifs.
L'objectif de la présente étude est de déterminer si des réactions asymétriques sont observables au niveau du marché du travail au Canada. L'emploi étant un facteur important du processus de production, la réaction de cette variable à des chocs de politique monétaire pourrait aider à mieux comprendre la source des effets asymétriques sur la production. J'ai estimé le modèle en deux étapes par la méthode des moments généralisés et j'ai effectué une correction de la matrice de variance-covariance des estimateurs proposée par Newey (1984) afin de tenir compte de la présence des régresseurs générés.
Dans l'ensemble, les résultats obtenus concordent avec ceux des travaux antérieurs sur la production, sauf pour l'emploi défini comme le nombre d'heures de travail par personne à chaque période. Toutefois, les effets asymétriques observés diminuent ou disparaissent lorsque d'autres variables réelles sont ajoutées au modèle.
Abstract: Several economists, including Cover (1992), Ammer and Brunner (1995), Macklem, Paquet, and Phaneuf (1996), have worked over the past few years to determine whether monetary policy shocks have asymmetric effects on output. These authors have generally found that negative monetary shocks tend to reduce output growth significantly, and that positive shocks generally have a weaker or even negligible impact. The goal of this study is to determine whether asymmetric reactions can be observed in the Canadian labour market. Because employment is an important factor in the output process, discovering how this variable reacts to monetary policy shocks could lead to a better understanding of where asymmetric effects on output originate. I have estimated the model in two stages, using the generalized moments method, and have made correction to the variance-covariance matrix of estimators proposed by Newey (1984) in order to take into account the generated regressors. Overall, the results agree with those of previous output studies, except for employment defined as the number of hours worked per person in each period. The asymmetric effects observed, however, diminish or disappear altogether when other real variables are added to the model.
Abstract: Several economists, including Cover (1992), Ammer and Brunner (1995), Macklem, Paquet, and Phaneuf (1996), have worked over the past few years to determine whether monetary policy shocks have asymmetric effects on output. These authors have generally found that negative monetary shocks tend to reduce output growth significantly, and that positive shocks generally have a weaker or even negligible impact. The goal of this study is to determine whether asymmetric reactions can be observed in the Canadian labour market. Because employment is an important factor in the output process, discovering how this variable reacts to monetary policy shocks could lead to a better understanding of where asymmetric effects on output originate. I have estimated the model in two stages, using the generalized moments method, and have made correction to the variance-covariance matrix of estimators proposed by Newey (1984) in order to take into account the generated regressors. Overall, the results agree with those of previous output studies, except for employment defined as the number of hours worked per person in each period. The asymmetric effects observed, however, diminish or disappear altogether when other real variables are added to the model.