Identifying conventional and unconventional monetary policy shocks: a latent threshold approach
Identifying conventional and unconventional monetary policy shocks: a latent threshold approach
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识别传统和非常规货币政策冲击：潜在阈值方法
DOI：
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发表时间：
2015
期刊：
影响因子：
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通讯作者：
Jouchi Nakajima
中科院分区：
文献类型：
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作者：
Takeshi Kimura;Jouchi Nakajima
摘要本文提出了一个新的估计框架，使用结构VAR模型识别传统和非传统政策制度下的货币政策冲击。利用一个潜在的阈值建模策略，诱导随时间变化的收缩的参数，我们探索了一个递归的识别切换与随时间变化的过度识别的利率零下限。我们实证分析日本的货币政策，以说明所提出的方法来模拟制度之间的切换常规和非常规的货币政策时期，并发现，所提出的模型是首选的嵌套标准的时变参数VAR模型。估计结果表明，在非常规政策时期，增加银行准备金会降低长期利率，通货膨胀和产出缺口对银行准备金冲击的脉冲响应为正，但具有高度不确定性。
Abstract This paper proposes a new estimation framework for identifying monetary policy shocks in both conventional and unconventional policy regimes using a structural VAR model. Exploiting a latent threshold modeling strategy that induces time-varying shrinkage of the parameters, we explore a recursive identification switching with a time-varying overidentification for the interest rate zero lower bound. We empirically analyze Japan’s monetary policy to illustrate the proposed approach for modeling regime-switching between conventional and unconventional monetary policy periods, and find that the proposed model is preferred over a nested standard time-varying parameter VAR model. The estimation results show that increasing bank reserves lowers long-term interest rates in the unconventional policy periods, and that the impulse responses of inflation and the output gap to a bank reserve shock appear to be positive but highly uncertain.