The asymmetric effect of monetary policy on core inflation in Jordan: NARDL model

This study aimed to estimate the asymmetric impact of monetary policy on core inflation rates in Jordan during the period 2000-2020 using the Nonlinear Autoregressive Distributed Lag Model (NARDL) Based on quarterly data. The unit root tests showed the different degrees of integration by applying the Augmented Dickey-Fuller Test (ADF) and Philip Perron (P.P). and has a cointegration relationship using Johansson's test, and the Bound test. Also, there is a nonlinear relationship in the time series using waled test. The study used Core Inflation (CORINF) as a dependent variable (calculated based on excluding energy and food prices method) and the overnight deposit rate (CBJR), the loan and advances interest rate (LR), the growth in money supply (GM2), and the growth in real GDP (GRGDP) used as independent variables. The results indicated that there are asymmetric effects of both CBJR and GM2 on core inflation, as a 1% increase in GM2 leads to an increase in the CORINF by 1.3%, while its decrease by 1% leads to a decrease in the CORINF by 1.2%, in contrast, an increase in the LR by 1% leads to a decrease in the CORINF by 0.15% and a decrease by 1% leads to a rise in the CORINF by 0.44%, and the study also found that a rise in LR by 1% lead to a decrease in the CORINF by 0.43%, while its decrease by 1% leads to a rise in the CORINF by 0.44%.