How Persistent Are Unconventional Monetary Policy Effects?

Christopher Neely

No 2014-004, Working Papers from Federal Reserve Bank of St. Louis

Abstract: The weight of the evidence indicates that unconventional monetary policy (UMP) shocks had persistent effects on yields. To make this point, this paper illustrates that the most influential SVAR model of UMP effects, which implies transient effects, exhibits structural instability, sensitivity to specification and single observations that render the conclusions unreliable. Restricted SVAR models that limit asset return predictability are more stable and imply that UMP shocks were persistent. This conclusion is consistent with evidence from micro studies, surveys of professional forecasters, and quantity-of-debt models. Estimates of the dynamic effects of shocks should respect the limited predictability in asset prices.

Keywords: Federal Reserve; monetary policy; quantitative easing; large-scale asset purchases; VAR; forecasting; structural breaks; good deal (search for similar items in EconPapers)
JEL-codes: C30 E43 E47 E52 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2014-02-09, Revised 2022-04-15
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Note: Publisher DOI: https://doi.org/10.1016/j.jimonfin.2022.102653
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Journal of International Money and Finance

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DOI: 10.20955/wp.2014.004

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