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Identifying Quantitative and Qualitative Monetary Policy Shocks


  • Kiyotaka Nakashima

    (Konan University, Japan)

  • Masahiko Shibamoto

    (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)

  • Koji Takahashi

    (Bank of Japan , Japan)


This paper proposes a novel method for identifying quantitative and qualitative monetary policy shocks in central bank's balance sheet operations. Compared with existing identification methods, our method is agnostic and flexible in that it does not assume the way of response of two balance sheet instruments, namely, the size and composition of the central bank's balance sheet, after the bank makes policy decisions. Under some restrictions imposed in the vector autoregressive model, we identify the two unconventional policy shocks as "anticipated" shocks that best portend the current and future paths of the unconventional policy indicators in response to the policy shocks. We observe in a robust manner that the qualitative easing shocks have expansionary effects on the real economy, while the 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.
  • Handle: RePEc:kob:dpaper:dp2019-09

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    Cited by:

    1. Masahiko Shibamoto & Wataru Takahashi & Takashi Kamihigashi, 2020. "Japan's Monetary Policy: A Literature Review and Empirical Assessment," Discussion Paper Series DP2020-15, Research Institute for Economics & Business Administration, Kobe University, revised Jul 2020.
    2. 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).

    More about this item


    Quantitative easing; Qualitative easing; Conventional monetary policy; Vector autoregressive model; Anticipated shock;

    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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