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An Investigation of Money Supply Shock Asymmetry Using Disaggregate Data

This paper is an empirical investigation of money supply shock asymmetry using disaggregated output data covering the 1962:02-1999:11 sample period. A twostep estimation procedure is employed. The first step estimates the positive and negative shocks to M2 money growth. These shocks are then used as independent variables in the second-step estimation for 10 different disaggregated measures of industry-level output in addition to total industrial production. Shocks to the federal funds rate are also used to identify the direction of monetary policy. The sample period is also divided into pre- and post-1979:10 samples to account for the monetary policy regime change. The results indicate symmetry for the hypothesis tests that use shocks to the M2 money supply. These results are confirmed using innovations to the Federal funds rate.