The Asymmetric Effects of Monetary Policy Shocks: A Nonlinear Structural VAR Approach

Preliminary version The aim of our paper is to investigate the potential asymmetric effects of monetary policy shocks on U.S. economic activity. For that matter, we focus on the business cycle phase in which the shock occurs. We then propose a natural extension of the structural VAR methodology and of its analysis tools to a nonlinear framework. The identification strategy of shocks we adopt is the one proposed by Sims and Zha (1998). At this stage, our findings reveal that a contractionary money supply shock yields asymmetric responses of output, prices and money