Testing the effectiveness of unconventional monetary policy in Japan and the United States / by Daisuke Ikeda, Shangshang Li, Sophocles Mavroeidis and Francesco Zanetti
Resumen.
Bibliografía.
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.
POLITICA MONETARIA
JAPON
ESTADOS UNIDOS
MODELOS ECONOMETRICOS
Ikeda, Daisuke
American Economic Journal : Macroeconomics 1945-7707 v. 16, n. 2, April 2024, p. 250-286