arXiv 23 Mar 2021 · Econometrics · publishedEconometrica (2021) · 6 citations (OpenAlex)
arXiv:2103.12779 · PDF · DOI · OpenAlex · Extracted main text
I show that the Zero Lower Bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy. Identification depends on the extent to which the ZLB limits the efficacy of monetary policy. I propose a simple way to test the efficacy of unconventional policies, modelled via a `shadow rate'. I apply this method to U.S. monetary policy using a three-equation SVAR model of inflation, unemployment and the federal funds rate. I reject the null hypothesis that unconventional monetary policy has no effect at the ZLB, but find some evidence that it is not as effective as conventional monetary policy.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Lee, L.-F (1999) Estimation of dynamic and ARCH Tobit models | 1.000 | 7 | 3 | 100% |
| 2 | Debortoli, D., J. Gali, and L. Gambetti (2019) On the Empirical (Ir) Relevance of the Zero Lower Bound Constraint | 1.000 | 6 | 4 | 100% |
| 3 | Ikeda, D., S. Li, S. Mavroeidis, and F. Zanetti (2020) Testing the effectiveness of unconventional monetary policy in Japan and the United States | 0.928 | 4 | 4 | 100% |
| 4 | Stock, J. H. and M. W. Watson (2001) Vector autoregressions | 0.874 | 6 | 2 | 100% |
| 5 | Blundell, R. and R. J. Smith (1994) Coherency and estimation in simultaneous models with censored or qualitative dependent variables | 0.843 | 3 | 3 | 100% |
| 6 | Reifschneider, D. and J. C. Williams (2000) Three lessons for monetary policy in a low-inflation era | 0.843 | 3 | 3 | 100% |
| 7 | Amemiya, T (1974) Multivariate regression and simultaneous equation models when the dependent variables are truncated normal | 0.644 | 2 | 2 | 100% |
| 8 | Chen, H., V. Cúrdia, and A. Ferrero (2012, November) (2012) The macroeconomic effects of large-scale asset purchase programmes | 0.644 | 2 | 2 | 100% |
| 9 | Gourieroux, C., J. Laffont, and A. Monfort (1980) Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes | 0.644 | 2 | 2 | 100% |
| 10 | Koop, G., M. H. Pesaran, and S. M. Potter (1996) Impulse response analysis in nonlinear multivariate models | 0.644 | 2 | 2 | 100% |
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