Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297368 
Authors: 
Year of Publication: 
2024
Series/Report no.: 
ECB Working Paper No. 2928
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
The 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 mechanism generates monetary asymmetries in a model that jointly 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 macro-finance implications, monetary asymmetries disappear. Our results suggest that asymmetries in the transmission mechanism critically depend on the macro-finance implications of monetary policy models, and that resorting to nonlinear techniques is not sufficient to detect monetary asymmetries.
Subjects: 
Money Demand
Nonlinear Solution Methods
Asset Pricing in DSGE Models
Term Premium
Stochastic Discount Factor
JEL: 
E31
E44
E58
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6676-4
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.