Asymmetric Effects of Monetary Policy Easing and Tightening

Davide Debortoli, Mario Forni, Luca Gambetti and Luca Sala

Center for Economic Research (RECent) from University of Modena and Reggio E., Dept. of Economics "Marco Biagi"

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. Non-linearities are estimated using a new and simple procedure based on linear Structural Vector Autoregressions with exogenous variables (SVARX). We rationalize the results through the lenses of a simple model with downward nominal wage rigidities.

Keywords: monetary policy shocks; non-linear effects; structural VAR models (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: pages 35
Date: 2020-12
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac, nep-mon and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Related works:
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:mod:recent:146

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