This paper investigates the asymmetric effects of monetary shocks when the impact of monetary policy on real activity works through state-dependent variables. We use a nonlinear model, the multiple regime smooth transition autoregressive model, that allows the effects of shocks to vary across the business cycles when monetary innovations modify both the endogenous and state variables. Our impulse response functions show a history-dependence property. Indeed, hitting the economy at a given time induces persistence and asymmetric responses across histories and shocks. The empirical application concerns the US over the period 1975:1–1998:2.