Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States
Daisuke Ikeda,
Shangshang Li,
Sophocles Mavroeidis and
Francesco Zanetti
American Economic Journal: Macroeconomics, 2024, vol. 16, issue 2, 250-86
Abstract:
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.
JEL-codes: E12 E23 E31 E43 E52 E58 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)
Downloads: (external link)
https://www.aeaweb.org/doi/10.1257/mac.20210169 (application/pdf)
https://doi.org/10.3886/E191941V1 (text/html)
https://www.aeaweb.org/doi/10.1257/mac.20210169.appx (application/pdf)
https://www.aeaweb.org/doi/10.1257/mac.20210169.ds (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.
Related works:
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 (2021) 
Working Paper: Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States (2020) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:aea:aejmac:v:16:y:2024:i:2:p:250-86
Ordering information: This journal article can be ordered from
https://www.aeaweb.org/journals/subscriptions
DOI: 10.1257/mac.20210169
Access Statistics for this article
American Economic Journal: Macroeconomics is currently edited by Simon Gilchrist
More articles in American Economic Journal: Macroeconomics from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().