In this paper, we propose a natural extension of the structural VAR approach to a nonlinear framework. Our aim is to investigate the potential asymmetric effects of monetary policy shocks on U.S. economic activity, depending on the business cycle phase in which the shock occurs. Our original contribution is to adapt the structural VAR methodology to a nonlinear setup. The identification strategy of shocks we adopt is the one proposed by Sims and Zha (1998). At this stage our findings reveal that a contractionary money supply shock yields asymmetric responses of output, prices and money.