欧洲央行-商业周期货币政策冲击传导的不对称性：贝叶斯量化因子增广VAR（英）

Working Paper Series Asymmetries in the transmission of monetary policy shocks over the business cycle: a Bayesian Quantile Factor Augmented VAR Sofia Velasco Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 2983 AbstractThis paper introduces a Bayesian Quantile Factor Augmented VAR (BQFAVAR) to exam-ine the asymmetric effects of monetary policy throughout the business cycle. Monte Carloexperiments demonstrate that the model effectively captures non-linearities in impulse re-sponses. Analysis of aggregate responses to a contractionary monetary policy shock revealsthat financial variables and industrial production exhibit more pronounced impacts duringrecessions compared to expansions, aligning with predictions from the ’financial accelerator’propagation mechanism literature. Additionally, inflation displays a higher level of symme-try across economic conditions, consistent with households’ loss aversion in the context ofreference-dependent preferences and central banks’ commitment to maintaining price sta-bility. The examination of price rigidities at a granular level, employing sectoral prices andquantities, demonstrates that during recessions, the contractionary policy shock results in amore pronounced negative impact on quantities compared to expansions. This finding pro-vides support for the notion of stronger downward than upward price rigidity, as suggestedby ’menu-costs models’.Keywords: Bayesian Quantile VAR, FAVAR, Asymmetric effects of monetary policy, Dis-aggregate prices, Non-linear modelsJEL Codes: C11 C32 E32 E37 E52ECB Working Paper Series No 29xx1ECB Working Paper Series No 29831Non-technical summaryIn this study, I analyze the impact of monetary policy changes in the United States on variouseconomic indicators, including output, inflation, the Excess Bond Premium, and a detaileddataset of sectoral prices and quantities spanning from 1976 to 2005. The results indicate thatwhen the interest rate is tightened, financial variables and industrial production exhibit notablystronger responses during economic downturns compared to periods of economic expansion.However, the response of inflation appears to be more symmetric across different economicconditions.The increased influence of monetary policy tightening on the Excess Bond Premium andindustrial production during recessions suggests that interest rate changes affect borrowingcosts and investment decisions more strongly in economic downturns. This phenomenon can beattributed to the weakened state of firms’ balance sheets during periods of economic downturn,leading to an increase in the premium as borrowers become more reliant on external finance.While the less pronounced differences in how inflation responds to monetary policy shocks acrosseconomic conditions may be due to households’ tendency to be more sensitive to consumptionl