Asymmetric Effects of Monetary Policy Easing and Tightening

Mario Forni, Luca Sala, Luca Gambetti and Davide Debortoli

No 1205, Working Papers from Barcelona School of Economics

Abstract: Monetary policy easing and tightening have asymmetric effects: a policy easing has large effects on prices but small effects on real activity variables. The opposite is found for a policy tightening: large real effects but small effects on prices. Nonlinearities are estimated using a new and simple procedure based on linear Structural Vector Autoregressions with exogenous variables (SVARX). We rationalize the result through the lens of a simple model with downward nominal wage rigidities.

Keywords: monetary policy shocks; nonlinear effects; structural VAR models (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2020-10
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (12)

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Working Paper: Asymmetric Effects of Monetary Policy Easing and Tightening (2020)
Working Paper: Asymmetric Effects of Monetary Policy Easing and Tightening (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:1205

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