What Causes The Asymmetric Effects Of Monetary Policy: Size or Sign of Money-Supply Shocks?

Recent research has moved from the question of whether the effects of monetary policy are asymmetric to the question of why. This paper sheds some light on the nature of these asymmetries by focusing on two distinct types: sign asymmetry (monetary expansions have different effects than monetary contractions) and size asymmetry (large monetary shocks have different real effects than smaller monetary shocks). Using quarterly data from the 1964-2004 period, money-supply shocks and their effects on output, consumption, and investment are estimated for a panel of 12 OECD countries. The paper's findings support both types of asymmetries.