Working Paper
Inferring the Shadow Rate from Real Activity
Abstract: We estimate a shadow rate consistent with the paths of time series capturing real activity. This allows us to quantify the real effects of unconventional monetary policy in terms of equivalent short-term interest rate movements. We find that large-scale asset purchases and forward guidance had significant real effects equivalent of up to a four percent reduction in the federal funds rate.
Keywords: External instrument VAR; Kalman filter; Unconventional monetary policy; Effective lower bound; Shadow rate;
JEL Classification: E43; E47; E52;
https://doi.org/10.17016/FEDS.2017.106
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File(s): File format is application/pdf https://www.federalreserve.gov/econres/feds/files/2017106pap.pdf
Authors
Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: Finance and Economics Discussion Series
Publication Date: 2017
Number: 2017-106