Measuring the Non-Linear Effects of Monetary Policy

Christian Matthes and Régis Barnichon

No 49, 2015 Meeting Papers from Society for Economic Dynamics

Abstract: This paper proposes a method to identify the non-linear effects of structural shocks by using Gaussian basis functions to parametrize impulse response functions. We apply our approach to monetary policy and find that the effect of a monetary intervention depends strongly on (i) the sign of the intervention, (ii) the size of the intervention, and (iii) the state of the business cycle at the time of the intervention. A contractionary policy has a strong adverse effect on output, much stronger than linear estimates suggest, but an expansionary policy has, on average, no significant effect on output. An expansionary policy can have some expansionary effect on output, but only if the intervention is large and during a recession. Even so, a contractionary policy is always more potent than its expansionary counterpart.

Date: 2015
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2015/paper_49.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed015:49

Access Statistics for this paper

More papers in 2015 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().