“…Most studies examining the impact of unconventional policy measures to date have focused on the effects of large-scale asset purchases upon financial markets, typically, by looking at the risk or term premium component of bond yields and other prices (see, e.g., Gorodonichenko & Ray, 2018;Gagnon et al, 2011;Hamilton & Wu, 2012;Inoue & Rossi, 2019 for the US; Kimura & Small, 2006;Ueda, 2012 for Japan;and Rogers, Scotti, & Wright, 2014 for several major economies). 3 However, there are also a number of studies assessing the overall macroeconomic effects, such as the study by Chen, Curda, and Ferrero (2012) and Carlstrom, Fuerst, and Paustian (2017) employing a fully specified dynamic stochastic general equilibrium framework as well as those by Chung, Laforte, Reifschneider, and Williams (2012) and Engen, Laubach, and Reifschneider (2015) using traditional large-scale econometric models. However, an important shortcoming of these approaches is that they have to rely on economic models estimated for periods that include conventional monetary policy.…”