Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/318180 
Year of Publication: 
2022
Series/Report no.: 
BCAM Working Paper No. 2205
Publisher: 
Birkbeck, University of London, Birkbeck Centre for Applied Macroeconomics (BCAM), London
Abstract: 
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.
Subjects: 
Effective lower bound
unconventional monetary policy
structural VAR
JEL: 
E52
E58
Document Type: 
Working Paper

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