IDEAS home Printed from https://ideas.repec.org/a/oup/emjrnl/v24y2021i1pc1-c32..html
   My bibliography  Save this article

Identifying and estimating the effects of unconventional monetary policy: How to do it and what have we learned?

Author

Listed:
  • Barbara Rossi

Abstract

SummaryThe recent financial crisis led central banks to lower their interest rates in order to stimulate the economy until they hit the zero lower bound. How should one identify monetary policy shocks in unconventional times? Are unconventional monetary policies as effective as conventional ones? And has the monetary policy transmission mechanism changed in the zero lower bound era? This article aims to provide an overview of the econometric challenges of and the solutions to the identification of monetary policy shocks in unconventional times as well as a survey of their empirical effects on the economy.

Suggested Citation

  • Barbara Rossi, 2021. "Identifying and estimating the effects of unconventional monetary policy: How to do it and what have we learned?," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 1-32.
    • Handle: RePEc:oup:emjrnl:v:24:y:2021:i:1:p:c1-c32.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/ectj/utaa020
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Ben S. Bernanke & Kenneth N. Kuttner, 2005. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, June.
    2. Bowman, David & Londono, Juan M. & Sapriza, Horacio, 2015. "U.S. unconventional monetary policy and transmission to emerging market economies," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 27-59.
    3. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
    4. Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
    5. Benjamin K. Johannsen & Elmar Mertens, 2021. "A Time‐Series Model of Interest Rates with the Effective Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1005-1046, August.
    6. Lemke, Wolfgang & Vladu, Andreea L., 2016. "Below the zero lower bound: A shadow-rate term structure model for the euro area," Discussion Papers 32/2016, Deutsche Bundesbank.
    7. Hess Chung & Jean‐Philippe Laforte & David Reifschneider & John C. Williams, 2012. "Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(s1), pages 47-82, February.
    8. Davide Debortoli & Jordi Galí & Luca Gambetti, 2020. "On the Empirical (Ir)Relevance of the Zero Lower Bound Constraint," NBER Macroeconomics Annual, University of Chicago Press, vol. 34(1), pages 141-170.
    9. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
    10. Brent Bundick & A. Lee Smith, 2020. "The Dynamic Effects of Forward Guidance Shocks," The Review of Economics and Statistics, MIT Press, vol. 102(5), pages 946-965, December.
    11. 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.
    12. Jing Cynthia Wu & Fan Dora Xia, 2016. "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 253-291, March.
    13. Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2021. "Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 307-324, January.
    14. David Greenlaw & James D. Hamilton & Ethan Harris & Kenneth D. West, 2018. "A Skeptical View of the Impact of the Fed’s Balance Sheet," NBER Working Papers 24687, National Bureau of Economic Research, Inc.
    15. Piazzesi, Monika & Swanson, Eric T., 2008. "Futures prices as risk-adjusted forecasts of monetary policy," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 677-691, May.
    16. Michael A.S. Joyce & Matthew Tong, 2012. "QE and the Gilt Market: a Disaggregated Analysis," Economic Journal, Royal Economic Society, vol. 122(564), pages 348-384, November.
    17. Krippner, Leo, 2013. "Measuring the stance of monetary policy in zero lower bound environments," Economics Letters, Elsevier, vol. 118(1), pages 135-138.
    18. James H. Stock & Mark W. Watson, 2018. "Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments," Economic Journal, Royal Economic Society, vol. 128(610), pages 917-948, May.
    19. Jonathan H. Wright, 2012. "What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?," Economic Journal, Royal Economic Society, vol. 122(564), pages 447-466, November.
    20. James D. Hamilton & Jing Cynthia Wu, 2012. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(s1), pages 3-46, February.
    21. Marco Del Negro & Marc P. Giannoni & Christina Patterson, 2023. "The Forward Guidance Puzzle," Journal of Political Economy Macroeconomics, University of Chicago Press, vol. 1(1), pages 43-79.
    22. Wang, Shen & Mayes, David G., 2012. "Monetary policy announcements and stock reactions: An international comparison," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 145-164.
    23. Jing Cynthia Wu & Fan Dora Xia, 2020. "Negative interest rate policy and the yield curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 653-672, September.
    24. Neely, Christopher J., 2015. "Unconventional monetary policy had large international effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 101-111.
    25. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-529, October.
    26. Mark Gertler & Peter Karadi, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 44-76, January.
    27. Marek Jarociński & Peter Karadi, 2020. "Deconstructing Monetary Policy Surprises—The Role of Information Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 1-43, April.
    28. Thomas Laubach & John C. Williams, 2003. "Measuring the Natural Rate of Interest," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1063-1070, November.
    29. Marco J. Lombardi & Feng Zhu, 2018. "A Shadow Policy Rate to Calibrate U.S. Monetary Policy at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 14(5), pages 305-346, December.
    30. Gauti B. Eggertsson & Michael Woodford, 2003. "The Zero Bound on Interest Rates and Optimal Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 139-235.
    31. Kortela, Tomi, 2016. "A shadow rate model with time-varying lower bound of interest rates," Research Discussion Papers 19/2016, Bank of Finland.
    32. Darracq-Paries, Matthieu & De Santis, Roberto A., 2015. "A non-standard monetary policy shock: The ECB's 3-year LTROs and the shift in credit supply," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 1-34.
    33. Canova, Fabio & Nicolo, Gianni De, 2002. "Monetary disturbances matter for business fluctuations in the G-7," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1131-1159, September.
    34. Jens H. E. Christensen & Glenn D. Rudebusch, 2012. "The Response of Interest Rates to US and UK Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages 385-414, November.
    35. Jack Meaning & Feng Zhu, 2011. "The impact of recent central bank asset purchase programmes," BIS Quarterly Review, Bank for International Settlements, December.
    36. Michael A. S. Joyce & Ana Lasaosa & Ibrahim Stevens & Matthew Tong, 2011. "The Financial Market Impact of Quantitative Easing in the United Kingdom," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 113-161, September.
    37. José Luis Montiel Olea & Carolin Pflueger, 2013. "A Robust Test for Weak Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 358-369, July.
    38. Kristina Bluwstein & Fabio Canova, 2016. "Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures," International Journal of Central Banking, International Journal of Central Banking, vol. 12(3), pages 69-120, September.
    39. Michael D. Bauer & Glenn D. Rudebusch, 2016. "Monetary Policy Expectations at the Zero Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(7), pages 1439-1465, October.
    40. Richard H. Clarida & Jordi Gali, 1994. "Sources of real exchange rate fluctuations: how important are nominal shocks?," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
    41. Joseph E. Gagnon & Brian Sack, 2018. "QE: A User's Guide," Policy Briefs PB18-19, Peterson Institute for International Economics.
    42. Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2015. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 77-109, January.
    43. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
    44. Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "The Transmission of Monetary Policy Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(3), pages 74-107, July.
    45. Hanson, Samuel G. & Stein, Jeremy C., 2015. "Monetary policy and long-term real rates," Journal of Financial Economics, Elsevier, vol. 115(3), pages 429-448.
    46. Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
    47. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
    48. Eric T. Swanson, 2011. "Let's Twist Again: A High-Frequency Event-study Analysis of Operation Twist and Its Implications for QE2," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(1 (Spring), pages 151-207.
    49. Kulish, Mariano & Morley, James & Robinson, Tim, 2017. "Estimating DSGE models with zero interest rate policy," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 35-49.
    50. Andrade, Philippe & Ferroni, Filippo, 2021. "Delphic and odyssean monetary policy shocks: Evidence from the euro area," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 816-832.
    51. von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2016. "The interest rate pass-through in the euro area during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 386-402.
    52. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    53. Kim, Don H. & Singleton, Kenneth J., 2012. "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, vol. 170(1), pages 32-49.
    54. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," Working Paper Series 2219, European Central Bank.
    55. Marek Jarocinski & Peter Karadi, 2017. "Central Bank Information Shocks," 2017 Meeting Papers 1193, Society for Economic Dynamics.
    56. Leonardo Gambacorta & Boris Hofmann & Gert Peersman, 2014. "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 615-642, June.
    57. Joyce, Michael, 2012. "Quantitative easing and other unconventional monetary policies: Bank of England conference summary," Bank of England Quarterly Bulletin, Bank of England, vol. 52(1), pages 48-56.
    58. Wu, Jing Cynthia & Zhang, Ji, 2019. "A shadow rate New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    59. Michael D. Bauer & Glenn D. Rudebusch, 2014. "The Signaling Channel for Federal Reserve Bond Purchases," International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 233-289, September.
    60. Eric Ghysels & Julien Idier & Simone Manganelli & Olivier Vergote, 2017. "A High-Frequency assessment of the ECB Securities Markets Programme," Journal of the European Economic Association, European Economic Association, vol. 15(1), pages 218-243.
    61. Barbara Rossi & Tatevik Sekhposyan, 2016. "Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 507-532, April.
    62. Michael Joyce & David Miles & Andrew Scott & Dimitri Vayanos, 2012. "Quantitative Easing and Unconventional Monetary Policy – an Introduction," Economic Journal, Royal Economic Society, vol. 122(564), pages 271-288, November.
    63. Joshua K. Hausman & Johannes F. Wieland, 2014. "Abenomics: Preliminary Analysis and Outlook," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 45(1 (Spring), pages 1-76.
    64. Walentin, Karl, 2014. "Business cycle implications of mortgage spreads," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 62-77.
    65. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    66. John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2018. "Unconventional Monetary Policy and International Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1827-1850, December.
    67. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    68. Leo Krippner, 2013. "A tractable framework for zero lower bound Gaussian term structure models," Reserve Bank of New Zealand Discussion Paper Series DP2013/02, Reserve Bank of New Zealand.
    69. Joshua K. Hausman & Johannes F. Wieland, 2014. "Abenomics: Preliminary Analysis and Outlook," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 1-76.
    70. David H. Romer & Christina D. Romer, 2000. "Federal Reserve Information and the Behavior of Interest Rates," American Economic Review, American Economic Association, vol. 90(3), pages 429-457, June.
    71. Kilian,Lutz & Lütkepohl,Helmut, 2018. "Structural Vector Autoregressive Analysis," Cambridge Books, Cambridge University Press, number 9781107196575, Enero.
    72. Hibiki Ichiue & Yoichi Ueno, 2013. "Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields," Bank of Japan Working Paper Series 13-E-8, Bank of Japan.
    73. Kenneth N. Kuttner, 2018. "Outside the Box: Unconventional Monetary Policy in the Great Recession and Beyond," Journal of Economic Perspectives, American Economic Association, vol. 32(4), pages 121-146, Fall.
    74. repec:zbw:bofrdp:2016_019 is not listed on IDEAS
    75. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Econometrica, Econometric Society, vol. 89(6), pages 2855-2885, November.
    2. Mattia Guerini & Francesco Lamperti & Mauro Napoletano & Andrea Roventini & Tania Treibich, 2022. "Unconventional monetary policies in an agent-based model with mark-to-market standards," Review of Evolutionary Political Economy, Springer, vol. 3(1), pages 73-107, April.
    3. repec:diw:diwwpp:dp1906 is not listed on IDEAS
    4. Donato Masciandaro, 2023. "How Elastic and Predictable Money Should Be: Flexible Monetary Policy Rules from the Great Moderation to the New Normal Times (1993-2023)," BAFFI CAREFIN Working Papers 23196, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Oliver Holtemöller & Alexander Kriwoluzky & Boreum Kwak, 2024. "Is There an Information Channel of Monetary Policy?," Discussion Papers of DIW Berlin 2084, DIW Berlin, German Institute for Economic Research.
    6. Elien Meuleman & Rudi Vander Vennet, 2022. "Macroprudential Policy, Monetary Policy, and Euro Zone Bank Risk," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
    7. Fabio Canova & Filippo Ferroni, 2022. "Mind the Gap! Stylized Dynamic Facts and Structural Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 14(4), pages 104-135, October.
    8. Yang, Yang & Tang, Yanling & Cheng, Kai, 2023. "Spillback effects of US unconventional monetary policy," Finance Research Letters, Elsevier, vol. 53(C).
    9. Thorsten V. Koeppl & Jeremy M. Kronick & James McNeil, 2024. "Using functional shocks to assess conventional and unconventional monetary policy in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 57(4), pages 1314-1336, November.
    10. repec:zbw:bofrdp:2020_003 is not listed on IDEAS
    11. Carvalho, Alexandre & Valle e Azevedo, João & Pires Ribeiro, Pedro, 2024. "Permanent and temporary monetary policy shocks and the dynamics of exchange rates," Journal of International Economics, Elsevier, vol. 147(C).
    12. Mamdouh Abdelkader & Lilia Karnizova, 2024. "Exploring the Environmental Impact of Monetary Policy," Working Papers 2406E, University of Ottawa, Department of Economics.
    13. Francisco Serranito & Julien Vauday & Nicolas Himounet, 2022. "A Positive Effect of Uncertainty Shocks on the Economy: Is the Chase Over ?," EconomiX Working Papers 2022-26, University of Paris Nanterre, EconomiX.
    14. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy : identification through the yield curve," Research Discussion Papers 3/2020, Bank of Finland.
    15. Aßhoff, Sina & Belke, Ansgar & Osowski, Thomas, 2021. "Unconventional monetary policy and inflation expectations in the Euro area," Economic Modelling, Elsevier, vol. 102(C).
    16. Ehrmann, Michael & Gnan, Phillipp & Rieder, Kilian, 2023. "Central Bank Communication by ??? The Economics of Public Policy Leaks," CEPR Discussion Papers 18152, C.E.P.R. Discussion Papers.
    17. Alipanah Sabri & Kiss Gábor Dávid, 2022. "The Impact of ECB’s Unconventional Monetary Policy on the German Stock Market Volatility," Zagreb International Review of Economics and Business, Sciendo, vol. 25(s1), pages 17-29.
    18. Davtyan, Karen, 2023. "Unconventional monetary policy and economic inequality," Economic Modelling, Elsevier, vol. 126(C).
    19. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
    20. Roubyou Said & Ouakil Hicham, 2025. "House Prices and the Effectiveness of Monetary Policy in an Estimated DSGE Model of Morocco," Economies, MDPI, vol. 13(4), pages 1-23, March.
    21. Tom Beernaert & Nicolas Soenen & Rudi Vander Vennet, 2023. "ECB Monetary Policy and the Term Structure of Bank Default Risk," JRFM, MDPI, vol. 16(12), pages 1-22, December.
    22. Shixuan Wang & Rangan Gupta & Matteo Bonato & Oguzhan Cepni, 2022. "The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks," Working Papers 202219, University of Pretoria, Department of Economics.
    23. Martin Baumgärtner & Jens Klose, 2021. "Why central banks announcing liquidity injections is more effective than forward guidance," International Finance, Wiley Blackwell, vol. 24(2), pages 236-256, August.
    24. Cecchetti, Stephen & Feroli, Michael & Kashyap, Anil & Mann, Catherine L. & Schoenholtz, Kermit L., 2020. "Monetary Policy in the Next Recession?," CEPR Discussion Papers 15365, C.E.P.R. Discussion Papers.
    25. Jung, Alexander, 2023. "Are monetary policy shocks causal to bank health? Evidence from the euro area," Journal of Macroeconomics, Elsevier, vol. 75(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Barbara Rossi, 2018. "Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?," Economics Working Papers 1641, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2020.
    2. Pagliari, Maria Sole, 2024. "Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies," European Economic Review, Elsevier, vol. 168(C).
    3. Claudio Borio & Anna Zabai, 2018. "Unconventional monetary policies: a re-appraisal," Chapters, in: Peter Conti-Brown & Rosa M. Lastra (ed.), Research Handbook on Central Banking, chapter 20, pages 398-444, Edward Elgar Publishing.
    4. Stéphane Lhuissier & Urszula Szczerbowicz, 2022. "Monetary Policy and Corporate Debt Structure," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 497-515, June.
    5. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021. "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series 2564, European Central Bank.
    6. Breitenlechner, Max & Gründler, Daniel & Scharler, Johann, 2021. "Unconventional monetary policy announcements and information shocks in the U.S," Journal of Macroeconomics, Elsevier, vol. 67(C).
    7. van der Zwan, Terri & Kole, Erik & van der Wel, Michel, 2024. "Heterogeneous macro and financial effects of ECB asset purchase programs," Journal of International Money and Finance, Elsevier, vol. 143(C).
    8. Aeimit Lakdawala, 2019. "Decomposing the effects of monetary policy using an external instruments SVAR," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 934-950, September.
    9. Bernhard, Severin & Ebner, Till, 2017. "Cross-border spillover effects of unconventional monetary policies on Swiss asset prices," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 109-127.
    10. Atsushi Inoue & Barbara Rossi, 2021. "A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy," Quantitative Economics, Econometric Society, vol. 12(4), pages 1085-1138, November.
    11. Claus, Edda & Claus, Iris & Krippner, Leo, 2018. "Asset market responses to conventional and unconventional monetary policy shocks in the United States," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 270-282.
    12. D’Amico, Stefania & King, Thomas B., 2023. "What does anticipated monetary policy do?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 123-139.
    13. Saroj Bhattarai & Christopher J. Neely, 2022. "An Analysis of the Literature on International Unconventional Monetary Policy," Journal of Economic Literature, American Economic Association, vol. 60(2), pages 527-597, June.
    14. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
    15. Bu, Chunya & Rogers, John & Wu, Wenbin, 2021. "A unified measure of Fed monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 331-349.
    16. Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2022. "Interest Rate Surprises: A Tale of Two Shocks," Working Papers 2213, Federal Reserve Bank of Dallas.
    17. De Rezende, Rafael B. & Ristiniemi, Annukka, 2023. "A shadow rate without a lower bound constraint," Journal of Banking & Finance, Elsevier, vol. 146(C).
    18. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy : identification through the yield curve," Research Discussion Papers 3/2020, Bank of Finland.
    19. Thi Bich Ngoc Tran & Hoang Cam Huong Pham, 2020. "The Spillover Effects of the US Unconventional Monetary Policy: New Evidence from Asian Developing Countries," JRFM, MDPI, vol. 13(8), pages 1-26, July.
    20. Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," KAE Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.

    More about this item

    Keywords

    shock identification; VARs; zero lower bound; unconventional monetary policy; monetary policy; external instruments; forward guidance;
    All these keywords.

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • H31 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - Household
    • I3 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty
    • D1 - Microeconomics - - Household Behavior

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:emjrnl:v:24:y:2021:i:1:p:c1-c32.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/resssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.