Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States

Daisuke Ikeda, Shangshang Li, Sophocles Mavroeidis and Francesco Zanetti

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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.

Keywords: Effective lower bound; unconventional monetary policy; structural VAR (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Pages: 73 pages
Date: 2022-10
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (1)

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https://cama.crawford.anu.edu.au/sites/default/fil ... oeidis_zanetti_0.pdf (application/pdf)

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 (2021)
Working Paper: Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2022-68

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