EconPapers    
Economics at your fingertips  
 

Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?

Barbara Rossi ()

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: How should one identify monetary policy shocks in unconventional times? Are unconventional monetary policies as e§ective as conventional ones? And has the transmission mechanism of monetary policy changed in the zerolower bound era? The recent Önancial crisis led Central banks to lower their interest rates in order to stimulate the economy, and interest rates in many advanced economies hit the zero lower bound. As a consequence, the traditional approach to the identiÖcation and the estimation of monetary policy faces new econometric challenges in unconventional times. This article aims at providing a broad overview of the recent literature on the identiÖcation of unconventional monetary policy shocks and the estimation of their e§ects on both Önancial as well as macroeconomic variables. Given that the prospects of slow recoveries and long periods of very low interest rates are becoming the norm, many economists believe that we are likely to face unconventional monetary policy measures often in the future. Hence, these are potentially very important issues in practice.

Keywords: Shock identification; VARs; zero lower bound; unconventional monetary policy; monetary policy; external instruments; forward guidance. (search for similar items in EconPapers)
JEL-codes: E4 E52 E21 H31 I3 D1 (search for similar items in EconPapers)
Date: 2018-01
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://econ-papers.upf.edu/papers/1641.pdf Whole Paper (application/pdf)

Related works:
Working Paper: Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned? (2019) Downloads
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:upf:upfgen:1641

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
Bibliographic data for series maintained by ().

 
Page updated 2020-05-19
Handle: RePEc:upf:upfgen:1641