The Macroeconomic Effects of the Federal Reserve’s Conventional and Unconventional Monetary Policies

I separately identify and estimate the effects of innovations to the Federal Reserve’s federal funds rate, forward guidance, and large-scale asset purchase (LSAP) policies on the US economy. I extend the high-frequency identification strategy of Bauer and Swanson (NBER Macroecon Annu 37:87–155, 2023b) for monetary policy VARs by allowing each of the above policies to have possibly different economic effects. I follow Swanson (J Monetary Econ 118:32–53, 2021) and Swanson and Jayawickrema (Speeches by the Fed Chair Are More Important than FOMC Announcements: An Improved High-Frequency Measure of US Monetary Policy Shocks. University of California, Irvine, 2024) to separately identify federal funds rate, forward guidance, and LSAP components of monetary policy announcements using high-frequency interest rate changes around the Federal Open Market Committee (FOMC) announcements, post-FOMC press conferences, FOMC meeting minutes releases, and speeches and testimony by the Fed Chair and Vice Chair. I estimate that federal funds rate shocks had the most powerful effects on the US economy, followed by shocks to forward guidance and, lastly, LSAPs, although the standard errors around each of these estimates are substantial.