The Asymmetric Effects of Monetary Policy: Evidence from the United Kingdom*
研究英国经济对货币政策冲击的反应如何取决于经济状态、冲击方向或大小，发现繁荣期的冲击影响更大，扩张性冲击比紧缩性冲击更强，大冲击对产出的影响比例上弱于小冲击。
Abstract In this paper, I analyse how the response of the UK economy to monetary policy shocks depends on the state of the economy, or the sign or size of the shock. Monetary policy shocks are identified by extending the Cloyne and Hürtgen (2016) approach to allow for time variation in the central bank reaction function. These shocks are used to estimate impulse responses by local projections to investigate asymmetries in the transmission mechanism. The main result is that shocks that occur during economic booms have significantly larger effects than those that occur during recessions. In addition, I find that expansionary shocks are more powerful than contractionary shocks, and that large shocks have a proportionally weaker effect on output than small shocks. The results are robust to alternative monetary policy shock identification methods and variations in the empirical specification.