How persistent are unconventional monetary policy effects?

Christopher Neely

Journal of International Money and Finance, 2022, vol. 126, issue C

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 purchase; VAR; Forecasting; Structural breaks; Good deal (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:126:y:2022:i:c:s0261560622000560

DOI: 10.1016/j.jimonfin.2022.102653

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