Asymmetric Effects of Monetary Policy

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we first use a structural vector autoregression model to examine whether the US economy responds asymmetrically to expansionary and contractionary monetary policies. The empirical results show that monetary policy has significant asymmetric effects on output and investment. To provide an explanation of such asymmetries, we consider a nonlinear dynamic stochastic general equilibrium (DSGE) model in which collateral constraints are occasionally binding over the business cycle. The nonlinear DSGE model is able to match the empirical findings that macroeconomic aggregates react asymmetrically to positive and negative monetary policy shocks.

Original languageEnglish
JournalB.E. Journal of Macroeconomics
DOIs
Publication statusAccepted/In press - 2020

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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