Testing the effectiveness of unconventional monetary policy in Japan and the United States

Daisuke Ikeda, Shangshang Li, Sophocles Mavroeidis and Francesco Zanetti

No 961, Economics Series Working Papers from University of Oxford, Department of Economics

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

Date: 2021-05-04
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States (2024)
Working Paper: Testing the effectiveness of unconventional monetary policy in Japan and the United States (2023)
Working Paper: Testing the effectiveness of unconventional monetary policy in Japan and the United States (2022)
Working Paper: Testing the effectiveness of unconventional monetary policy in Japan and the United States (2022)
Working Paper: Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States (2022)
Working Paper: Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States (2020)
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