Identifying Quantitative and Qualitative Monetary Policy Shocks

Kiyotaka Nakashima (), Masahiko Shibamoto and Koji Takahashi

No DP2019-09, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: This paper proposes a method for identifying quantitative and qualitative monetary policy shocks in the balance sheet operations of a central bank in VAR analysis. The method is agnostic and flexible as it relies on no assumptions on how the size and composition of the central bank's balance sheet will respond after the bank makes a policy decision. We identify two types of policy shocks as "anticipated" shocks that best portend the current and future paths of these policy instruments in response to them. We obtain evidence that qualitative easing shocks have expansionary effects on the economy while quantitative easing shocks do not.

Keywords: Quantitative easing; Qualitative easing; Conventional monetary policy; Vector autoregressive model; Anticipated shock (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Pages: 61 pages
Date: 2019-03, Revised 2023-03
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Citations: View citations in EconPapers (6)

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https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2019-09.pdf Revised version, 2023 (application/pdf)

Related works:
Journal Article: Identifying Quantitative and Qualitative Monetary Policy Shocks (2024)
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