The asymmetric effects of Tunisian monetary policy: a threshold vector autoregressive approach

This paper deals with the presence of asymmetric effects of monetary policy on real activity in Tunisia, using a threshold vector autoregressive model. Two kinds of asymmetry are investigated: asymmetry related to the phase of the business cycle and asymmetry related to the direction of the monetary policy action. The generalised impulse response functions from the estimated non-linear model prove that monetary shocks have asymmetric effects on the economic aggregates, depending on different initial states of the economy. Little evidence is found of any asymmetry related to the direction of the policy action.