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Identifying Quantitative and Qualitative Monetary Policy Shocks

Author

Listed:
  • Kiyotaka Nakashima

    (Independent Economist)

  • Masahiko Shibamoto

    (Research Institute for Economics and Business Administration and Center for Computational Social Science, Kobe University, JAPAN)

  • Koji Takahashi

    (Bank for International Settlements, SWITZERLAND)

Abstract

This paper proposes a method for identifying quantitative and qualitative monetary policy shocks in the balance sheet operations of a central bank in VAR analysis. The method is agnostic and flexible as it relies on no assumptions on how the size and composition of the central bank's balance sheet will respond after the bank makes a policy decision. We identify two types of policy shocks as "anticipated" shocks that best portend the current and future paths of these policy instruments in response to them. We obtain evidence that qualitative easing shocks have expansionary effects on the economy while quantitative easing shocks do not.

Suggested Citation

  • Kiyotaka Nakashima & Masahiko Shibamoto & Koji Takahashi, 2019. "Identifying Quantitative and Qualitative Monetary Policy Shocks," Discussion Paper Series DP2019-09, Research Institute for Economics & Business Administration, Kobe University, revised Mar 2023.
    • Handle: RePEc:kob:dpaper:dp2019-09
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    File URL: https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2019-09.pdf
    File Function: Revised version, 2023
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    Cited by:

    1. Fumitaka Nakamura & Nao Sudo & Yu Sugisaki, 2021. "A Quest for Monetary Policy Shocks in Japan by High Frequency Identification," IMES Discussion Paper Series 21-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
    2. Hiroyuki Kubota & Mototsugu Shintani, 2023. "Macroeconomic Effects of Monetary Policy in Japan: An Analysis Using Interest Rate Futures Surprises," CARF F-Series CARF-F-555, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2020. "No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    4. Hiroyuki Kubota & Mototsugu Shintani, 2021. "High-Frequency Identification of Monetary Policy Shocks in Japan (Revised version of CARF-F-502)(Forthcoming in the Japanese Economic Review)," CARF F-Series CARF-F-530, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    5. Masahiko Shibamoto & Wataru Takahashi & Takashi Kamihigashi, 2023. "Japan’s monetary policy: a literature review and empirical assessment," Journal of Computational Social Science, Springer, vol. 6(2), pages 1215-1254, October.

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    More about this item

    Keywords

    Quantitative easing; Qualitative easing; Conventional monetary policy; Vector autoregressive model; Anticipated shock;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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