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
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Citations: View citations in EconPapers (11)

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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)
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DOI: 10.1257/mac.20210169

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