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

作者：Daisuke Ikeda, Shangshang Li, Sophocles Mavroeidis, Francesco Zanetti · 发表于：American Economic Journal Macroeconomics · 年份：2024 · DOI：10.1257/mac.20210169 · 被引用次数：11 · 研究领域：Monetary Policy and Economic Impact、Global Financial Crisis and Policies、Economic Theory and Policy

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. (JEL E12, E23, E31, E43, E52, E58)