The Effects of Monetary Policy on Growth- and Inflation-at-Risk

I use a combination of a structural dynamic factor model and quantile regressions to study how monetary policy shocks affect the predicted distributions of GDP growth and inflation in the US. Contractionary monetary policy shocks shift the expected distribution of GDP growth to the left and deepen its two modes. The expected distribution of inflation is spread out and retains significant probability mass for inflation increases. Expansionary policy instead, reduces the bimodality of expected GDP growth in favor of the ``good" equilibrium and decreases the spread of the inflation distribution.<br>