 The Asymmetric Effects of Monetary Policy: Evidence from the United KingdomNick Stenner Oxford Bulletin of Economics and Statistics, 2022, vol. 84, issue 3, 516-543 Abstract: In this paper, I analyse how the response of the UK economy to monetary policy shocks depends on the state of the economy, or the sign or size of the shock. Monetary policy shocks are identified by extending the Cloyne and Hürtgen (2016) approach to allow for time variation in the central bank reaction function. These shocks are used to estimate impulse responses by local projections to investigate asymmetries in the transmission mechanism. The main result is that shocks that occur during economic booms have significantly larger effects than those that occur during recessions. In addition, I find that expansionary shocks are more powerful than contractionary shocks, and that large shocks have a proportionally weaker effect on output than small shocks. The results are robust to alternative monetary policy shock identification methods and variations in the empirical specification. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:84:y:2022:i:3:p:516-543 Ordering information: This journal article can be ordered from Access Statistics for this article Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.