The Empirical Relevance of the Shadow Rate and the Zero Lower Bound
研究了美国经济在零下限约束下非常规货币政策的演变，通过影子利率泰勒规则和时变系数结构VAR模型，发现影子利率在短期利率接近零下限时能产生合理的经济结果，且非常规货币政策是应对衰退和促进经济复苏的有效手段。
Abstract This paper investigates the evolution of unconventional monetary policies under a binding zero lower bound (ZLB) constraint for the U.S. economy. In doing so, this study provides a comprehensive empirical assessment on the economic and statistical implications of allowing conventional and unconventional monetary policies to work in mutually exclusive union using shadow rates. Shadow rate Taylor rules and policy counterfactuals implied by time‐varying coefficient structural vector autoregression (VAR) models show: (i) one can reconcile plausible economic results using shadow rates when short‐term interest rates approach the ZLB and (ii) unconventional monetary policies are a viable response to recession and facilitate stability during economic recovery.