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How Persistent Are Unconventional Monetary Policy Effects?

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Abstract

The weight of the evidence indicates that unconventional monetary policy (UMP) shocks had persistent effects on yields. To make this point, this paper illustrates that the most influential SVAR model of UMP effects, which implies transient effects, exhibits structural instability, sensitivity to specification and single observations that render the conclusions unreliable. Restricted SVAR models that limit asset return predictability are more stable and imply that UMP shocks were persistent. This conclusion is consistent with evidence from micro studies, surveys of professional forecasters, and quantity-of-debt models. Estimates of the dynamic effects of shocks should respect the limited predictability in asset prices.

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  • Christopher J. Neely, 2014. "How Persistent Are Unconventional Monetary Policy Effects?," Working Papers 2014-004, Federal Reserve Bank of St. Louis, revised 15 Apr 2022.
    • Handle: RePEc:fip:fedlwp:2014-004
    DOI: 10.20955/wp.2014.004
    Note: Publisher DOI: https://doi.org/10.1016/j.jimonfin.2022.102653
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    Cited by:

    1. 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.
    2. Belke, Ansgar, 2018. "The Effectiveness of the Fed?s Quantitative Easing Policy - A Survey of the Econometrics/La efectividad de expansión cuantitativa de la Fed. Una panorámica econométrica," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 36, pages 291-308, Enero.
    3. Edison Yu, 2016. "Did quantitative easing work?," Economic Insights, Federal Reserve Bank of Philadelphia, vol. 1(1), pages 5-13, January.
    4. Sleibi, Yacoub & Casalin, Fabrizio & Fazio, Giorgio, 2023. "Unconventional monetary policies and credit co-movement in the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    5. Pejman Peykani & Mostafa Sargolzaei & Amir Takaloo & Shahla Valizadeh, 2023. "The Effects of Monetary Policy on Macroeconomic Variables through Credit and Balance Sheet Channels: A Dynamic Stochastic General Equilibrium Approach," Sustainability, MDPI, vol. 15(5), pages 1-21, March.

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    More about this item

    Keywords

    Federal Reserve; monetary policy; quantitative easing; large-scale asset purchases; VAR; forecasting; structural breaks; good deal;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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