RIEB Discussion Paper Series No.2019-09

RIEB Discussion Paper Series No.2019-09

Title

Identifying Quantitative and Qualitative Monetary Policy Shocks

Abstract

This paper proposes a novel method for identifying quantitative and qualitative monetary policy shocks in central bank's balance sheet operations. Compared with existing identification methods, our method is agnostic and flexible in that it does not assume the way of response of two balance sheet instruments, namely, the size and composition of the central bank's balance sheet, after the bank makes policy decisions. Under some restrictions imposed in the vector autoregressive model, we identify the two unconventional policy shocks as "anticipated" shocks that best portend the current and future paths of the unconventional policy indicators in response to the policy shocks. We observe in a robust manner that the qualitative easing shocks have expansionary effects on the real economy, while the quantitative easing shocks do not.

Keywords

Quantitative easing, Qualitative easing, Conventional monetary policy, Vector autoregressive model, Anticipated shock

JEL Classification

E52, E58

Inquiries

Kiyotaka NAKASHIMA
Konan University

Masahiko SHIBAMOTO
Research Institute for Economics and Business Administration,
Kobe University
Rokkodai-cho, Nada-ku, Kobe
657-8501 Japan
Phone: +81-78-803-7036
FAX: +81-78-803-7059

Koji TAKAHASHI
Bank of Japan
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