RIEB Discussion Paper Series No.2019-09

Title

Identifying Quantitative and Qualitative Monetary Policy Shocks

Abstract

This paper proposes a method for identifying quantitative and qualitative monetary policy shocks in the balance sheet operations of a central bank in VAR analysis. The method is agnostic and flexible as it relies on no assumptions on how the size and composition of the central bank's balance sheet will respond after the bank makes a policy decision. We identify two types of policy shocks as "anticipated" shocks that best portend the current and future paths of these policy instruments in response to them. We obtain evidence that qualitative easing shocks have expansionary effects on the economy while 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
Independent Economist

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

Koji TAKAHASHI
Bank for International Settlements