Identification at the Zero Lower Bound

• 成果类型: Article
• 署名作者: Mavroeidis, Sophocles
• 署名单位: University of Oxford
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA17388
• 发表日期: 2021
• 页码: 2855-2885
• 关键词: monetary-policy; EQUATION MODELS; COHERENCY; specification; variables

摘要

I show that the zero lower bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy. Identification depends on the extent to which the ZLB limits the efficacy of monetary policy. I propose a simple way to test the efficacy of unconventional policies, modeled via a shadow rate. I apply this method to U.S. monetary policy using a three-equation structural vector autoregressive model of inflation, unemployment, and the Federal Funds rate. I reject the null hypothesis that unconventional monetary policy has no effect at the ZLB, but find some evidence that it is not as effective as conventional monetary policy.