Asymmetric effects of monetary policy in the euro area

Antezza, Arianna; Abela, Glenn; Gorelova, Alissa; Meta, Gianmarco; Montebello, Roberta

Asymmetric effects of monetary policy in the euro area

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Citació

Antezza, A, Abela, G, Gorelova, A, Meta, G, Montebello, R. Asymmetric effects of monetary policy in the euro area. 2023. handle: http://hdl.handle.net/10230/58368

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Resum

We study sign asymmetry in the effect of conventional monetary policy on key nominal and real macroeconomic variables in the euro area, using monthly data ranging from 2002 until 2022. We make use of local projections with state-dependence coming from the sign of the monetary policy shock, employing shocks identified using high frequency identification. Our baseline findings suggest that, while nominal macroeconomic variables are more sensitive to an expansionary monetary shock, contractionary monetary policy shocks have an immediate and stronger effect on real variables. Furthermore, we investigate the potential sources of asymmetry by clustering countries that present similarities in proxies of labor, financial and housing markets, respectively. We find results that are consistent with theoretical predictions that downward nominal wage rigidities, sectoral composition of the economy, firm sizes as well as the housing market and housing debt conditions all contribute to the sign asymmetries we uncover in our baseline results.