Journal article

Testing the effectiveness of unconventional monetary policy in Japan and the United States

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.

Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Ikeda, D., Li, S., Mavroeidis, S., & Zanetti, F. (2024). Testing the effectiveness of unconventional monetary policy in Japan and the United States. American Economic Journal: Macroeconomics, 16(2), 250–286.

MLA Style

Ikeda, D, et al. “Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States.” American Economic Journal: Macroeconomics, vol. 16, no. 2, 2024, pp. 250–86.

Chicago Style

Ikeda, D, S Li, S Mavroeidis, and F Zanetti. 2024. “Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States.” American Economic Journal: Macroeconomics 16 (2): 250–86.
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Files:: Ikeda_et_al_2024_Testing_the_effectiveness.pdf

(Preview, Accepted manuscript, pdf, 1.1MB, Terms of use)

Publisher copy:: 10.1257/mac.20210169

Authors

+ Ikeda, D More by this author

Role:: Author

+ Li, S More by this author

Role:: Author

+ Mavroeidis, S More by this author

Institution:: University of Oxford
Division:: SSD
Department:: Economics
Oxford college:: University College
Role:: Author
ORCID:: 0000-0002-8851-8044

+ Zanetti, F More by this author

Institution:: University of Oxford
Division:: SSD
Department:: Economics
Oxford college:: Wadham College
Role:: Author

Publisher:: American Economic Association
Journal:: American Economic Journal: Macroeconomics More from this journal
Volume:: 16
Issue:: 2
Pages:: 250-286
Publication date:: 2024-04-01
Acceptance date:: 2024-01-01
DOI:: 10.1257/mac.20210169
EISSN:: 1945-7715
ISSN:: 1945-7707

Language:: English
Keywords:: effective lower bound

unconventional monetary policy

structural VAR
Pubs id:: 1151698
UUID:: uuid_844490ab-c32f-40c8-b504-bf813730f98e
Local pid:: pubs:1151698
Source identifiers:: W3123459148
Deposit date:: 2025-11-10
ARK identifier:: ark:/29072/ora_844490abc32f40c8b504bf813730f98e

Terms of use

Copyright holder:: American Economic Association
Copyright date:: 2024
Rights statement:: Copyright 2024 American Economic Association. All rights reserved.
Notes:: This is the accepted manuscript version of the article. The final version is available online from Elsevier at https://dx.doi.org/10.1257/mac.20210169

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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