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Paper #1641

Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?
Barbara Rossi
Gener 2018
How should one identify monetary policy shocks in unconventional times? Are unconventional monetary policies as ežective as conventional ones? And has the transmission mechanism of monetary policy changed in the zerolower bound era? The recent Ínancial crisis led Central banks to lower their interest rates in order to stimulate the economy, and interest rates in many advanced economies hit the zero lower bound. As a consequence, the traditional approach to the identiÍcation and the estimation of monetary policy faces new econometric challenges in unconventional times. This article aims at providing a broad overview of the recent literature on the identiÍcation of unconventional monetary policy shocks and the estimation of their ežects on both Ínancial as well as macroeconomic variables. Given that the prospects of slow recoveries and long periods of very low interest rates are becoming the norm, many economists believe that we are likely to face unconventional monetary policy measures often in the future. Hence, these are potentially very important issues in practice.
Paraules clau:
Shock identification, VARs, zero lower bound, unconventional monetary policy, monetary policy, external instruments, forward guidance.
Codis JEL:
E4, E52, E21, H31, I3, D1.
Àrea de Recerca:
Macroeconomia i Economia Internacional / Estadística, Econometria i Mètodes Quantitatius

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