Asymmetric Effects of Monetary Policy Easing and Tightening

Mario Forni, Davide Debortoli, Luca Gambetti and Luca Sala

No 15005, CEPR Discussion Papers from Centre for Economic Policy Research

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 Strutural 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: 2020-07
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (19)

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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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