Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United Statest

• 成果类型: Article
• 署名作者: Ikeda, Daisuke; Li, Shangshang; Mavroeidis, Sophocles; Zanetti, Francesco
• 署名单位: Bank of Japan; University of Liverpool; University of Oxford; Centre for Economic Policy Research - UK
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20210169
• 发表日期: 2024
• 页码: 250-286
• 关键词: interest-rates; federal-reserve; Asset purchases; credit spreads; identification; FRAMEWORK; models; COSTS

摘要

Unconventional monetary policy (UMP) may make the effective lower bound (ELB) on the short-term interest rate irrelevant. We develop a theoretical model that underpins our empirical test of this irrelevance hypothesis, based on the simple idea that under the hypothesis, the short rate can be excluded in any empirical model that accounts for alternative measures of monetary policy. We test the hypothesis for Japan and the United States using a structural vector autoregressive model with the ELB. We firmly reject the hypothesis but find that UMP has had strong delayed effects.