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

Ikeda, Daisuke, Li, Shangshang ORCID: 0009-0004-7164-3801, Mavroeidis, Sophocles and Zanetti, Francesco (2024) Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States. American Economic Journal: Macroeconomics, 16 (2). pp. 250-286.

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Official URL: http://dx.doi.org/10.1257/mac.20210169

Abstract

<jats:p> 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) </jats:p>

Item Type:	Article
Divisions:	Faculty of Humanities and Social Sciences > School of Management
Depositing User:	Symplectic Admin
Date Deposited:	19 Apr 2024 09:47
Last Modified:	29 Apr 2024 12:41
DOI:	10.1257/mac.20210169
Open Access URL:	https://arxiv.org/pdf/2012.15158.pdf
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3180453