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.
File(s): File format is application/pdf https://www.federalreserve.gov/econres/feds/files/2017106pap.pdf
Part of Series: Finance and Economics Discussion Series
Publication Date: 2017