Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models

Abstract

This paper investigates the asymmetric effects of monetary shocks when the=20 impact of monetary policy on real activity works through state-dependent=20 variables. We use a nonlinear model, the multiple regime smooth transition=20 autoregressive model, that allows the effects of shocks to vary across the b= usiness=20 cycles when monetary innovations modify both the endogenous and state variab= les.=20 Our impulse response function show a history-dependence property. Indeed,=20 hitting the economy at a given time induces persistence and asymmetric respo= nses=20 across histories and shocks. The empirical application concerns the US over=20= the=20 period 1975:1- 1998:2