Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States
检验了非常规货币政策能否使短期利率的有效下限变得无关紧要，利用日本和美国的数据，通过结构向量自回归模型否定了这一假设，但发现非常规货币政策有强烈的滞后效应。
Unconventional monetary policy (UMP) may make the effective lower bound (ELB) on the short-term interest rate irrelevant. We develop a theoretical model that underpins our empirical test of this “irrelevance hypothesis,” based on the simple idea that under the hypothesis, the short rate can be excluded in any empirical model that accounts for alternative measures of monetary policy. We test the hypothesis for Japan and the United States using a structural vector autoregressive model with the ELB. We firmly reject the hypothesis but find that UMP has had strong delayed effects.