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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Working Paper No. 131
Verlag: 
Università Cattolica del Sacro Cuore, Dipartimento di Economia e Finanza (DISCE), Milano
Zusammenfassung: 
This study assesses the impact of financial uncertainty shocks in the US and explores the influence of monetary policy. Using a nonlinear Vector Autoregressive model, incorporating short-term interest rates and the Federal Reserve's balance sheet policy, we find that the reaction of the monetary policy is asymmetric across the business cycle. The state-dependent responses in consumption and investment significantly influence GDP fluctuations. A counterfactual analysis reveals that balance sheet-related monetary policy helps reduce both the duration and severity of the recessionary impacts caused by these shocks.
Schlagwörter: 
Uncertainty
Smooth Transition VAR
Nonlinearities
Monetary Policy
JEL: 
C50
E32
E52
Dokumentart: 
Working Paper

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