MONETARY ASYMMETRIES WITHOUT (AND WITH) PRICE STICKINESS

• 成果类型: Article
• 署名作者: Jaccard, Ivan
• 署名单位: European Central Bank; European Central Bank
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12677
• 发表日期: 2024
• 页码: 1003-1047
• 关键词: inflation risk premia; equity premium; asset returns; nominal rigidities; business cycles; interest-rates; term structure; POLICY; credit; transmission

摘要

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 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.