The Macroeconomic Impact of Unconventional Monetary Policy Shocks

摘要: With the Federal Funds rate approaching zero lower bound, U.S. Reserve adopted a range of unconventional monetary policy measures known as Quantitative Easing (QE). Quantifying impact QE has on real economy, however, is not straightforward standard tools such VAR models cannot easily be applied. In this paper we use Qual model (Dueker, 2005) to combine binary information about announcements with an otherwise VAR. The filters unobservable propensity out observable data and delivers impulse responses shocks. contrast other empirical approaches, in our endogenously depending state business cycle studied terms unexpected We show that shocks lead fall interest rates, increase stock prices rise economic activity inflation.