零下限下的鉴别
Identification at the Zero Lower Bound
摘要：
我证明了利率的零下限（ZLB）可以用来识别货币政策的因果效应。识别取决于ZLB限制货币政策效力的程度。我提出了一个简单的方法来测试非常规政策的有效性，通过“影子利率”建模。我将这种方法应用于美国的货币政策，使用通货膨胀，失业率和联邦基金利率的三方程SVAR模型。我拒绝了非常规货币政策对ZLB没有影响的零假设，但发现了一些证据表明它不如常规货币政策有效。
英文摘要：
I show that the Zero Lower Bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy. Identification depends on the extent to which the ZLB limits the efficacy of monetary policy. I propose a simple way to test the efficacy of unconventional policies, modelled via a `shadow rate'. I apply this method to U.S. monetary policy using a three-equation SVAR model of inflation, unemployment and the federal funds rate. I reject the null hypothesis that unconventional monetary policy has no effect at the ZLB, but find some evidence that it is not as effective as conventional monetary policy.
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