Testing the effectiveness of unconventional monetary policy in Japan and the United States
Ikeda, D. and Li, S. and Mavroeidis, S. and Zanetti, F. (2022) Testing the effectiveness of unconventional monetary policy in Japan and the United States. Working Paper. Birkbeck Centre for Applied Macroeconomics, London, UK.
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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.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | BCAM Working Paper #2205. ISSN: 1745-8587 |
| Keyword(s) / Subject(s): | Effective lower bound, unconventional monetary policy, structural VAR |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Isobel Edwards |
| Date Deposited: | 02 Nov 2022 13:33 |
| Last Modified: | 02 Aug 2023 18:18 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/49642 |
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