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Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?

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  • Rossi, Barbara

Abstract

The 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 at providing an overview of the econometric challenges and 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

  • Rossi, Barbara, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?," CEPR Discussion Papers 14064, C.E.P.R. Discussion Papers.
  • Handle: RePEc:cpr:ceprdp:14064
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    Cited by:

    1. Fabio Canova & Filippo Ferroni, 2018. "Mind the gap! Stylized dynamic facts and structural models," Working Papers No 13/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Papers 2103.12779, arXiv.org, revised May 2021.
    3. 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.
    4. Elien Meuleman & Rudi Vander Vennet, 2020. "Macroprudential policy, monetary policy and Eurozone bank risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/1004, Ghent University, Faculty of Economics and Business Administration.

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    More about this item

    Keywords

    External Instruments; forward guidance; monetary policy; Shock identification; Unconventional Monetary Policy; VARs; zero lower bound;
    All these keywords.

    JEL classification:

    • D1 - Microeconomics - - Household Behavior
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • 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
    • H31 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - Household
    • I3 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty

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