BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org).

How do we evaluate the effects of unconventional monetary policy measures? To answer this question, we propose a simple structural model that enables us to identify the effects of liquidity facilities during financial turmoil. Specifically, we develop a model that examines the effects of the Bank of Japan's (BoJ's) commercial paper (CP) operations on the CP primary market. On the basis of the structural model, we measure the effects of CP operations as differences between the actual rates in the primary market and the counterfactual rates without the operations, and decompose the effects into three factors. We apply our model to identifying the effects of CP operations from

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