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The effects of conventional and unconventional monetary policy: A new approach

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dc.contributor.author Inoue, Atsushi
dc.contributor.author Rossi, Barbara
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned 2020-05-25T09:26:52Z
dc.date.available 2020-05-25T09:26:52Z
dc.date.issued 2018-10-16
dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1638
dc.identifier.citation
dc.identifier.uri http://hdl.handle.net/10230/44710
dc.description.abstract We propose a new approach to analuze economic shocks. Our new procedure identifies economic shocks as exogenous shifts in a function; hence, we call the "functional shocks". We show how to identify such shocks and how to trace their effects in the economy via VARs using a procedure that we call "VARs with finctional shocks". Using our new procedire, we address the crucial question of studying the effects or monetary policy by identifying monetary policy shocks as shifts in the shole term structure of government bond yields in a narrow window of time around monetary policy announcements. Our identification sheds new light on the effects of monetary policy shocks, both in conventional and unconventional periods, and shows that traditional identification procedires may miss important effects. We find that, overall, unconventional monetary policy has similar effects to conventional expansionary monetary policy, leading to an increase in both output growth and inflation; the response is hump-shaped; peaking around oneyear to one year and a half after the shock. The new procedire has the advantage of identifying monetary policy shocks during both conventional and unconventional monetary policy periods in a unified manner and can be applied more generally to other economic shocks.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 1638
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title The effects of conventional and unconventional monetary policy: A new approach
dc.title.alternative
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2020-05-25T09:25:51Z
dc.subject.keyword shock identification
dc.subject.keyword vars
dc.subject.keyword zero-lower bound
dc.subject.keyword unconventional monetary policy
dc.subject.keyword forward guidance.
dc.subject.keyword Macroeconomics and International Economics
dc.subject.keyword Statistics, Econometrics and Quantitative Methods
dc.rights.accessRights info:eu-repo/semantics/openAccess


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