Estimating monetary policy effects when interest rates are close to zero

• 成果类型: Article
• 署名作者: Iwata, Shigeru; Wu, Shu
• 署名单位: University of Kansas
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.05.009
• 发表日期: 2006
• 页码: 1395-1408
• 关键词: Zero lower bound; Monetary transmission; nonlinear VAR

摘要

Using a nonlinear structural VAR approach, we estimate the effects of exogenous monetary policy shocks in the presence of a zero lower bound constraint on nominal interest rates and examine the impact of such a constraint on the effectiveness of counter-cyclical monetary policies based on the data from Japan. We find that when interest rates are at zero, the output effect of exogenous shocks to monetary policy is cut in half if the central bank continues to target the interest rate. The conditional impulse response functions allow us to isolate the effect of monetary policy shocks operating through the interest rate channel when other possible channels of monetary transmission are present. (c) 2006 Elsevier B.V. All rights reserved.