A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound

摘要: The recent global financial crisis, the Great Recession and subsequent implementation of a variety unconventional policy measures have raised issue how to correctly measure stance monetary when interest rates reach zero lower bound (ZLB). In this paper, we propose new "shadow rate" for US economy, using large set data representing various facets Federal Reserve's stance. Changes in term premia at maturities asset purchases by Fed are key drivers shadow rate. We document that our rate tracks effective federal funds very closely before crisis. More importantly, it provides reasonable gauge ZLB becomes binding. This facilitates assessment against familiar Taylor rule benchmarks. Finally, show structural vector autoregressive (VAR) models, helps identify shocks better reflect measures.