Data and Code for: Testing the effectiveness of unconventional monetary policy in Japan and the United States

Principal Investigator(s): View help for Principal Investigator(s) Daisuke Ikeda, Bank of Japan; Shangshang Li, University of Liverpool Management School; Sophocles Mavroeidis, University of Oxford and INET; Francesco Zanetti, University of Oxford and CEPR

Version: View help for Version V1

Name	File Type	Size	Last Modified
Figures			12/05/2023 04:37:PM
Tables			12/05/2023 04:39:PM
CKSVAR.ox	text/plain	105.7 KB	12/05/2023 11:35:AM
JPNdata.csv	text/csv	27.2 KB	12/05/2023 11:35:AM
USdata.csv	text/csv	65.8 KB	12/05/2023 11:35:AM
cksvar.oxh	text/x-csrc	13 KB	12/05/2023 11:35:AM

Project Description

Summary: Unconventional monetary policy (UMP) may make the effective lower bound (ELB) on the short-term interest rate irrelevant. We develop a theoretical model that underpins our empirical test of this `irrelevance hypothesis,' based on the simple idea that under the hypothesis, the short rate can be excluded in any empirical model that accounts for alternative measures of monetary policy. We test the hypothesis for Japan and the United States using a structural vector autoregressive model with the ELB. We firmly reject the hypothesis but find that UMP has had strong delayed effects.

Scope of Project

Subject Terms: Structural VAR; DSGE

JEL Classification:
E52 Monetary Policy
E58 Central Banks and Their Policies

Geographic Coverage: United States, Japan

Universe: Macroeconomic variables

Data Type(s): aggregate data

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Published Versions

V1 [2024-03-07]

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