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

被引：12

作者：

Ikeda, Daisuke ^{[1
]}

Li, Shangshang ^{[2
]}

Mavroeidis, Sophocles ^{[3
,4
]}

Zanetti, Francesco ^{[3
,5
]}

机构：

[1] Bank Japan, Tokyo, Japan

[2] Univ Liverpool, Management Sch, Liverpool, England

[3] Univ Oxford, Oxford, England

[4] INET, Oxford, England

[5] CEPR, London, England

来源：

AMERICAN ECONOMIC JOURNAL-MACROECONOMICS | 2024年 / 16卷 / 02期

基金：

欧洲研究理事会; 欧盟地平线“2020”;

关键词：

INTEREST-RATES; FEDERAL-RESERVE; ASSET PURCHASES; CREDIT SPREADS; IDENTIFICATION; FRAMEWORK; MODELS; COSTS;

D O I：

10.1257/mac.20210169

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：250 / 286

页数：37

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