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Revisiting the effects of conventional and unconventional monetary policies

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  • Eul Noh

Abstract

This paper extends the discussion on the effects of the two distinctive monetary surprises in the literature. First, we show that the proxy of conventional monetary shock Granger causes the endogenous variables in the vector autoregressive model. Second, we provide evidence that the existing model can be exposed to a weak instrument problem. With our alternative model mitigating these concerns, the second monetary shock can be interpreted as unconventional monetary news in general. The estimation results show contractionary effect of the unconventional policy. We find increases in output after a positive conventional monetary surprise, suggesting an important Fed's information effect.

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  • Eul Noh, 2024. "Revisiting the effects of conventional and unconventional monetary policies," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 943-951, August.
    • Handle: RePEc:wly:japmet:v:39:y:2024:i:5:p:943-951
    DOI: 10.1002/jae.3052
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    References listed on IDEAS

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