Are the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks?

Apostolos Serletis and Khandokar Istiak
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Khandokar Istiak: University of South Alabama

Open Economies Review, 2016, vol. 27, issue 2, No 5, 303-316

Abstract: Abstract We investigate whether the United States economy responds asymmetrically to positive and negative money supply shocks of different magnitude, using a test recently introduced by Kilian and Vigfusson (Quant Econ 2:419–453, 2011) based on impulse response functions. We use quarterly data, over the period from 1967:1 to 2014:1, and the new CFS Divisia monetary aggregates, making a comparison among the narrower monetary aggregates, M1, M2M, MZM, M2, and ALL, and the broad monetary aggregates, M4+, M4-, and M3. We show that there is no statistically significant evidence of asymmetry in the response of the U.S. economy to positive and negative money supply shocks of different magnitude.

Keywords: Monetary policy; Money shocks; Divisia monetary aggregates (search for similar items in EconPapers)
JEL-codes: C32 C43 E52 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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Working Paper: Are the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks? (2015)
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DOI: 10.1007/s11079-015-9374-8

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