The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach

This paper tests for nonlinearity in a standard vector autoregression including output, prices, and money supply, using an estimation strategy that is consistent with a wide range of structural macroeconomic models. Shocks to the money supply are found to have stronger output effects and weaker pric...

Full description

Saved in:
Bibliographic Details
Published inJournal of money, credit and banking Vol. 31; no. 1; pp. 85 - 108
Main Author Weise, Charles L.
Format Journal Article
LanguageEnglish
Published Columbus Ohio State University Press 01.02.1999
John Wiley & Sons, Inc
Subjects
Asymmetry
Business cycles
Coefficients
Economic fluctuations
Economic models
Economic theory
Growth rate
Hypotheses
Inflation
Linear models
Macroeconomics
Monetary policy
Money supply
Negative price shocks
Output rate
Positive price shocks
Price levels
Price shocks
Prices
Regression analysis
Studies
Supply shocks
Variables
Vector autoregression
Online AccessGet full text

Cover

More Information
Summary:This paper tests for nonlinearity in a standard vector autoregression including output, prices, and money supply, using an estimation strategy that is consistent with a wide range of structural macroeconomic models. Shocks to the money supply are found to have stronger output effects and weaker price effects when output growth is initially low. Positive and negative monetary shocks are found to have nearly symmetric effects. In addition, there is some evidence that shocks of different magnitudes have asymmetric effects. These results are consistent with the view that the aggregate supply curve is convex.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0022-2879
1538-4616
DOI:10.2307/2601141