A0355
Title: Nonparametric methods for measuring asymmetries in monetary policy transmission
Authors: Anna Stelzer - University of Salzburg (Austria) [presenting]
Michael Pfarrhofer - University of Vienna (Austria)
Florian Huber - University of Salzburg (Austria)
M. Marcellino - Bocconi University (Italy)
Abstract: Nonparametric methods are considered to assess asymmetries in the transmission of monetary policy shocks. The preceding literature typically relies on variants of parametric (nonlinear) time series methods. While this allows for studying differentials in impulse response functions over time - such as varying persistence of the shocks - transmission channels are still linear conditional on each point in time. This rules out asymmetric responses with respect to the sign and size of the shock. Our proposed frameworks circumvent this limitation by relying on flexible nonparametric methods for the conditional mean of the underlying VAR model, which allows us to study asymmetric monetary policy responses along three dimensions: timing, sign and size of the shock.
