Unconventional monetary policies and expectations on economic variables

Alessio Anzuini and Luca Rossi

No 1323, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We investigate whether forward guidance and large scale asset purchases are effective in steering economic expectations in the US. Using the series of monetary policy shocks recovered in Swanson (2020), local projections, and an algorithm to select the best empirical model, we show that unconventional monetary policies are effective in tilting economic expectations in a direction consistent with central bankers' will. Our empirical findings provide two more insights: responses to LSAP shocks are stronger than those following a FG shock; responses to both types of policies are larger after contractionary shocks as compared to expansionary ones.

Keywords: unconventional monetary policy; local projections; non-linearities (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 (search for similar items in EconPapers)
Date: 2021-03
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Journal Article: Unconventional monetary policies and expectations on economic variables (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1323_21

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