Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States

Ikeda, Daisuke; Li, Shangshang; Mavroeidis, Sophocles; Zanetti, Francesco

doi:10.2139/ssrn.4265455

Cited by 7 publications

(7 citation statements)

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“…In other words, disruptions to the supply chain enhance the effectiveness of contractionary monetary policy in taming inflation while reducing the sensitivity of output to the policy. Our results reinforce the general findings on the state-dependence of the efficacy of monetary policy (Benigno and Ricci, 2011;Liu et al, 2019;Eichenbaum et al, 2022;Ikeda et al, 2024).…”

Section: Introductionsupporting

confidence: 91%

The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory

Bai,

Fernández-Villaverde,

et al. 2024

SSRN Journal

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Section: Introductionsupporting

confidence: 91%

The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory

Bai,

Fernández-Villaverde,

et al. 2024

SSRN Journal

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“…Ikeda et al . (2020) suggest that the dynamics of the economy is different at the ZLB with unconventional monetary policy being less effective on output. Notwithstanding, the results are similar to those reported here when the ZLB periods are excluded, that is, when the sub‐sample 1984:1–2008:6 is used in the estimation.…”

Section: Robustness Checksmentioning

confidence: 99%

Revisiting the Macroeconomic Effects of Monetary Policy Shocks*

Doko Tchatoka,

Haque

2024

Economic Record

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This study re‐evaluates the macroeconomic impact of monetary policy shocks in the United States using the proxy‐SVAR approach of Gertler and Karadi (American Economic Journal: Macroeconomics, 2015, 7, 44–76). Despite increased credit costs and the presence of the credit channel, our analysis reveals modest effects on economic activity post‐mid‐1980s. This robust finding holds across various inference methods and sample considerations. A counterfactual analysis within the framework of Bernanke, Gertler, and Gilchrist (1999, Handbook of Macroeconomics, Elsevier) suggests that a stronger response to inflation in monetary policy execution may explain the subdued impact of shocks, offering valuable insights for policy refinement and understanding the dynamics of economic activity.

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“…9 Zanetti (2014) and references therein provide a discussion on the key policy changes and time series properties in the UK economy. Ikeda et al (2020) studied the change in the effectiveness monetary policy during the financial crisis and the effective lower bound on the short-term interest rate. 10 Industrial production, PMI, and the nominal exchange rate index enter are in logs.…”

Section: Notesmentioning

confidence: 99%

Vintage article: the effect of monetary policy shocks in the UK: an external instruments approach

Görtz

Tsoukalas

et al. 2023

Macroecon. Dynam.

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This paper uses vector autoregression model analysis to identify monetary policy shocks on UK data using surprise changes in the policy rate as external instruments and imposing block exogeneity restrictions on domestic variables to estimate parameters from the viewpoint of the domestic economy. The results show large and persistent effects of monetary policy shocks on the domestic economy and point to the critical role of exchange rates and term premia. The analysis resolves important empirical puzzles of traditional recursive identification methods.

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Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States

Cited by 7 publications

References 0 publications

The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory

The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory

Revisiting the Macroeconomic Effects of Monetary Policy Shocks*

Vintage article: the effect of monetary policy shocks in the UK: an external instruments approach

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