Data di Pubblicazione:
2020
Citazione:
Debortoli, D., M., Forni, L., Gambetti e L., Sala. "Asymmetric Effects of Monetary PolicyEasing and Tightening" Working paper, RECENT WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi – Università di Modena e Reggio Emilia, 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. Non-linearities are estimated
using a new and simple procedure based on linear Structural Vector Autoregressions with
exogenous variables (SVARX). We rationalize the results through the lenses of a simple
model with downward nominal wage rigidities.
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. Non-linearities are estimated
using a new and simple procedure based on linear Structural Vector Autoregressions with
exogenous variables (SVARX). We rationalize the results through the lenses of a simple
model with downward nominal wage rigidities.
Tipologia CRIS:
Working paper
Keywords:
monetary policy shocks, non-linear effects, structural VAR models.
Elenco autori:
Debortoli, D.; Forni, M.; Gambetti, L.; Sala, L.
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