["International Economic Review, Volume 67, Issue 3, Page 977-996, August 2026. ", "\nABSTRACT\nUsing a nonlinear VAR, we examine the asymmetric effects of shocks to long‐run inflation expectations. Negative shocks, which temporarily lower long‐run inflation expectations, have a stronger and more persistent impact on output, investment, and firm entry compared to positive shocks. We provide a novel theoretical explanation, demonstrating how these shocks influence the second‐order components of the model, shaping firms' “wait‐and‐see” behavior—particularly along both the intensive and extensive margins of the investment channel."]