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Asymmetric effects of monetary policy easing and tightening

Davide Debortoli (), Mario Forni (), Luca Gambetti () and Luca Sala
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Davide Debortoli: https://www.upf.edu/web/econ/faculty/-/asset_publisher/6aWmmXf28uXT/persona/id/3419104

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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: 2020-06
New Economics Papers: this item is included in nep-pay
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Working Paper: Asymmetric Effects of Monetary Policy Easing and Tightening (2020) Downloads
Working Paper: Asymmetric Effects of Monetary Policy Easing and Tightening (2020) Downloads
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