MONETARY ASYMMETRIES WITHOUT (AND WITH) PRICE STICKINESS

Author:

JACCARD IVAN1

Affiliation:

1. European Central Bank Germany

Abstract

AbstractThe evidence suggests that monetary policy transmission is asymmetric over the business cycle. Interacting financing frictions with a preference for liquidity provides an explanation for this fact. Our model reproduces a set of asset market and business cycle facts. Accounting for the joint dynamics of asset prices and business cycle fluctuations is key; in a variant of the model that is unable to produce realistic macrofinance implications, monetary asymmetries disappear. Resorting to nonlinear techniques is therefore not sufficient to detect monetary asymmetries. Nonlinearities in the transmission mechanism also critically depend on the macrofinance implications of monetary policy models.

Publisher

Wiley

Subject

Economics and Econometrics

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