Template-Type: ReDIF-Paper 1.0

Author-Name: Valentina Colombo
Author-X-Name-First: Valentina
Author-X-Name-Last: Colombo

Author-Email: valentina.colombo@unicatt.it
Author-Workplace-Name: Università Cattolica del Sacro Cuore
Author-Workplace-Name: Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore

Author-Name: Alessia Paccagnini
Author-X-Name-First: Alessia
Author-X-Name-Last: Paccagnini




Title: Uncertainty and the Federal Reserve’s Balance Sheet Monetary Policy.


Abstract: This study assesses the impact of financial uncertainty shocks in the US and explores the influence of monetary policy. Using a nonlinear Vector Autoregressive
model, incorporating short-term interest rates and the Federal Reserve’s balance sheet policy, we find that the reaction of the monetary policy
is asymmetric across the business cycle. The state-dependent responses in consumption and investment significantly influence GDP fluctuations. A
counterfactual analysis reveals that balance sheet-related monetary policy helps reduce both the duration and severity of the recessionary impacts caused
by these shocks. 
Length: 53
Creation-Date: 2024-02
File-URL: http://dipartimenti.unicatt.it/economia-finanza-def131.pdf
File-Format: Application/pdf
File-Function: First version, 2024
Number: def131
Classification-JEL: C50, E32, E52. 
Keywords: Uncertainty, Smooth Transition VAR, Nonlinearities, Monetary Policy.
Handle: RePEc:ctc:serie1:def131