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•We test whether large recessionary shocks have a permanent effect on US GDP.•We use a quantile autoregression based unit root test.•The test allows for differences in the persistence of positive and negative shocks.•We find that all shocks including large recessionary shocks have permanent effects on the level of GDP.
Monetary policy rule parameters are usually estimated at the mean of the interest rate distribution conditional on inflation and an output gap. This is an incomplete description of monetary policy reactions when the parameters are not uniform over the conditional distribution of the interest rate. I use quantile regressions to estimate parameters over the whole conditional distribution of the federal...
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