This paper empirically examines whether the effects of monetary policy are asymmetric over the business cycles phases. The main findings are as follows. First, contractionary policy is more effective than expansionary policy. Second, monetary shock of an equal magnitude has a greater effect on inflation and output in the contraction phase than in the expansion phase. Third, the effects of monetary policy are asymmetric because people behave differently over the business cycles phases. In particular, the response of aggregate demand to interest rate change is stronger in the contraction phase than in the expansion phase. This difference is the main reason for the asymmetric effects of monetary policy over the business cycle phases.