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.

Debortoli, Davide, Mario, Forni, Luca, Gambetti e Luca, Sala. "Asymmetric Effects of Monetary Policy Easing and Tightening" Working paper, DISCUSSION PAPER SERIES, 2020.

Asymmetric Effects of Monetary Policy Easing and Tightening

Mario Forni;
2020

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.
2020
Luglio
Debortoli, Davide; Forni, Mario; Gambetti, Luca; Sala, Luca
Debortoli, Davide, Mario, Forni, Luca, Gambetti e Luca, Sala. "Asymmetric Effects of Monetary Policy Easing and Tightening" Working paper, DISCUSSION PAPER SERIES, 2020.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1244917
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