TY - JOUR
T1 - Asymmetric Effects of Monetary Policy
AU - Lin, Tzu Yu
N1 - Publisher Copyright:
© 2020 Walter de Gruyter GmbH, Berlin/Boston 2020.
PY - 2021/6/1
Y1 - 2021/6/1
N2 - 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.
AB - 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.
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U2 - 10.1515/bejm-2020-0084
DO - 10.1515/bejm-2020-0084
M3 - Article
AN - SCOPUS:85096003983
SN - 1935-1690
VL - 21
SP - 425
EP - 447
JO - B.E. Journal of Macroeconomics
JF - B.E. Journal of Macroeconomics
IS - 2
ER -