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.
Authors
- Kiyotaka Nakashima
- Masahiko Shibamoto
- Koji Takahashi
JEL codes
- E52
- E58