Revisiting the effects of conventional and unconventional monetary policies
扩展了对两种不同货币政策冲击效果的讨论，发现常规货币政策冲击能格兰杰因果影响VAR模型中的内生变量，而现有模型可能存在弱工具变量问题。替代模型表明第二种冲击可解释为非常规货币政策新闻，且非常规政策具有紧缩效应，常规政策冲击后产出增加，暗示美联储的信息效应。
Summary This paper extends the discussion on the effects of the two distinctive monetary surprises in the literature. First, we show that the proxy of conventional monetary shock Granger causes the endogenous variables in the vector autoregressive model. Second, we provide evidence that the existing model can be exposed to a weak instrument problem. With our alternative model mitigating these concerns, the second monetary shock can be interpreted as unconventional monetary news in general. The estimation results show contractionary effect of the unconventional policy. We find increases in output after a positive conventional monetary surprise, suggesting an important Fed's information effect.