This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Estimating Monetary Policy Effects When Interest Rates are Bounded at Zero Author info | Abstract | Publisher info | Download info | Related research | Statistics Shu Wu
Shigeru Iwata
Using a nonlinear structural VAR approach, we estimate the effects of exogenous monetary policy shocks in the presence of a zero lower bound constraint on nominal interest rates and examine the impact of such a constraint on the effectiveness of counter-cyclical monetary policies based on the data from Japan. We find that when interest rates are at zero, the output effect of exogenous shocks to monetary policy is cut in half if the central bank continues to target the interest rate. The conditional impulse response functions allow us to isolate the effect of monetary policy shocks operating through the interest rate channel when other possible channels of monetary transmission are present
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number
478.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: 11 Aug 2004Date of revision:
Handle: RePEc:ecm:feam04:478Contact details of provider: Phone: 1 212 998 3820 Fax: 1 212 995 4487 Email: Web page: http://www.econometricsociety.org/pastmeetings.asp More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Zero lower bound ; monetary transmission ; nonlinear VAR. ; Other versions of this item:
Find related papers by JEL classification: E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Potter, Simon M., 2000.
"Nonlinear impulse response functions ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 24(10), pages 1425-1446, September.
[Downloadable!] (restricted)
Other versions: Paul R. Krugman, 1998.
"It's Baaack: Japan's Slump and the Return of the Liquidity Trap ,"
Brookings Papers on Economic Activity ,
Economic Studies Program, The Brookings Institution, vol. 29(1998-2), pages 137-206.
[Downloadable!]
Buiter, Willem H & Panigirtzoglou, Nikolaos, 1999.
"Liquidity Traps: How to Avoid Them and How to Escape Them ,"
CEPR Discussion Papers
2203, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Bennett McCallum, 2001.
"Inflation targeting and the liquidity trap ,"
Proceedings ,
Federal Reserve Bank of San Francisco, issue Mar.
[Downloadable!]
Other versions: Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998.
"Monetary Policy Shocks: What Have We Learned and to What End? ,"
NBER Working Papers
6400, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1997.
"Monetary policy shocks: what have we learned and to what end? ,"
Working Paper Series, Macroeconomic Issues
WP-97-18, Federal Reserve Bank of Chicago.
Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999.
"Monetary policy shocks: What have we learned and to what end? ,"
Handbook of Macroeconomics ,
in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148
Elsevier.
[Downloadable!] (restricted) Svensson, Lars E O, 2000.
"The Zero Bound in an Open Economy: A Foolproof Way of Escaping from a Liquidity Trap ,"
CEPR Discussion Papers
2566, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Svensson, Lars, 2000.
"The Zero Bound in an Open Economy: A Foolproof Way of Escaping from a Liquidity Trap ,"
Seminar Papers
687, Stockholm University, Institute for International Economic Studies.
[Downloadable!] Lars E.O. Svensson, 2000.
"The Zero Bound in an Open Economy: A Foolproof Way of Escaping from a Liquidity Trap ,"
NBER Working Papers
7957, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Svensson, Lars-E-O, 2001.
"The Zero Bound in an Open Economy: A Foolproof Way of Escaping from a Liquidity Trap ,"
Monetary and Economic Studies ,
Institute for Monetary and Economic Studies, Bank of Japan, vol. 19(S1), pages 277-312, February.
[Downloadable!] McCallum, Bennett T, 2000.
"Theoretical Analysis Regarding a Zero Lower Bound on Nominal Interest Rates ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 32(4), pages 870-904, November.
Other versions: Robert L. Hetzel, 1999.
"Japanese monetary policy: a quantity theory perspective ,"
Economic Quarterly ,
Federal Reserve Bank of Richmond, issue Win, pages 1-26.
[Downloadable!]
Bennett T. McCallum, 2000.
"Alternative Monetary Policy Rules: A Comparison with Historical Settings for the United States, the United Kingdom, and Japan ,"
NBER Working Papers
7725, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Ben S. Bernanke & Mark Gertler, 1995.
"Inside the Black Box: The Credit Channel of Monetary Policy Transmission ,"
NBER Working Papers
5146, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Bernanke, Ben & Gertler, Mark, 1995.
"Inside the Black Box: The Credit Channel of Monetary Policy Transmission ,"
Working Papers
95-15, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!] Bernanke, Ben S & Gertler, Mark, 1995.
"Inside the Black Box: The Credit Channel of Monetary Policy Transmission ,"
Journal of Economic Perspectives ,
American Economic Association, vol. 9(4), pages 27-48, Fall.
[Downloadable!] (restricted) Julio Rotemberg & Michael Woodford, 1997.
"An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy ,"
NBER Chapters ,
in: NBER Macroeconomics Annual 1997, Volume 12, pages 297-361
National Bureau of Economic Research, Inc.
[Downloadable!]
Keating, John W., 1996.
"Structural information in recursive VAR orderings ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 20(9-10), pages 1557-1580.
[Downloadable!] (restricted)
John B. Taylor, 1995.
"The monetary transmission mechanism: an empirical framework ,"
Working Papers in Applied Economic Theory
95-07, Federal Reserve Bank of San Francisco.
Other versions: Meltzer, Allan H, 1995.
"Monetary, Credit and (Other) Transmission Processes: A Monetarist Perspective ,"
Journal of Economic Perspectives ,
American Economic Association, vol. 9(4), pages 49-72, Fall.
[Downloadable!] (restricted)
Mishkin, Frederic S, 1995.
"Symposium on the Monetary Transmission Mechanism ,"
Journal of Economic Perspectives ,
American Economic Association, vol. 9(4), pages 3-10, Fall.
[Downloadable!] (restricted)
Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993.
"Nonlinear Dynamic Structures ,"
Econometrica ,
Econometric Society, vol. 61(4), pages 871-907, July.
[Downloadable!] (restricted)
David Reifschneider & John C. Williams, 2000.
"Three lessons for monetary policy in a low-inflation era ,"
Conference Series ; [Proceedings] ,
Federal Reserve Bank of Boston, pages 936-978.
Other versions: Eichenbaum, Martin & Evans, Charles L, 1995.
"Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 110(4), pages 975-1009, November.
[Downloadable!] (restricted)
Günter Coenen & Athanasios Orphanides & Volker Wieland, 2003.
"Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero ,"
Working Paper Series
231, European Central Bank.
[Downloadable!]
Other versions:
Guenter Coenen & Athanasios Orphanides & Volker Wieland, 2003.
"Price Stability and Monetary Policy Effectiveness when Nominal Interest Rates are Bounded at Zero ,"
CFS Working Paper Series
2003/13, Center for Financial Studies.
[Downloadable!] Coenen, Günter & Orphanides, Athanasios & Wieland, Volker, 2003.
"Price Stability and Monetary Policy Effectiveness when Nominal Interest Rates are Bounded at Zero ,"
CEPR Discussion Papers
3892, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Athanasios Orphanides & Volker Wieland, 1998.
"Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero ,"
Finance and Economics Discussion Series
1998-35, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!] Günter Coenen & Athanasios Orphanides & Volker Wieland, 2004.
"Price Stability and Monetary Policy Effectiveness when Nominal Interest Rates are Bounded at Zero ,"
The B.E. Journal of Macroeconomics ,
Berkeley Electronic Press, vol. 0(1).
[Downloadable!] Jeffrey C. Fuhrer & Brian F. Madigan, 1997.
"Monetary Policy When Interest Rates Are Bounded At Zero ,"
The Review of Economics and Statistics ,
MIT Press, vol. 79(4), pages 573-585, November.
[Downloadable!] (restricted)
Other versions: Alexander L. Wolman, 1998.
"Staggered price setting and the zero bound on nominal interest rates ,"
Economic Quarterly ,
Federal Reserve Bank of Richmond, issue Fall, pages 1-24.
[Downloadable!]
James Clouse & Dale Henderson & Athanasios Orphanides & David Small & Peter Tinsley, 2000.
"Monetary policy when the nominal short-term interest rate is zero ,"
Finance and Economics Discussion Series
2000-51, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions: Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996.
"Impulse response analysis in nonlinear multivariate models ,"
Journal of Econometrics ,
Elsevier, vol. 74(1), pages 119-147, September.
[Downloadable!] (restricted)
Full
references
Access and
download statistics Did you know? IDEAS uses the data collected within the RePEc project , the largest online bibliographic database in Economics.
This page was last updated on 2009-11-25.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .