Shadow Rate Models and Monetary Policy

Ethan Struby and Michael F. Connolly
Additional contact information
Michael F. Connolly: Colgate University and Boston College

No 2022-03, Working Papers from Carleton College, Department of Economics

Abstract: We examine the channels and efficacy of monetary policy at the zero lower bound (ZLB) through the lens of shadow rate models. We compare estimates across models with various factor structures and different assumptions about interest rate forecasts. We confirm that calendar-based forward guidance discretely shifted the implied duration of the ZLB and that large scale asset purchases (LSAPs) primarily lowered term premia. However, we find that the real effects of monetary policy are more muted relative to prior estimates: a 1 standard deviation fall in the shadow rate causes a peak decline in the unemployment rate of 0.003-0.01%.

JEL-codes: E43 E44 E52 G12 (search for similar items in EconPapers)
Date: 2022-08
New Economics Papers: this item is included in nep-cba and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://digitalcommons.carleton.edu/cgi/viewconten ... 7&context=econ_repec (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
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:avv:wpaper:2022-03

Access Statistics for this paper

More papers in Working Papers from Carleton College, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sara Nielsen ().