The asymmetric effects of monetary policy shocks on the economy and the role of uncertainty and bad economic times

• Main Author: Δεληγιάννη, Κατερίνα
• Other Authors: Deligianni, Katerina
• Language: English
• Published: 2021
• Subjects: Monetary policy; Uncertainty; Interacted panel VAR; Recession; Νομισματική πολιτική; Αβεβαιότητα; Οικονομική ύφεση

This study aims to examine the asymmetric effects of a monetary policy shock on the European economy and how these effects are influenced by the presence of uncertainty and the bad economic times (recessions). Via the implementation of the interacted panel VAR approach, is tested how the regimes of uncertainty and recession interact with the effectiveness of the monetary policy. The empirical results present that the efficacy of the monetary policy is dampened during periods of high uncertainty, while it is boosted when the economy is facing a recession.