Identifying Quantitative and Qualitative Monetary Policy Shocks

Forthcoming in International Journal of Central Banking

60 Pages Posted: 28 Apr 2017 Last revised: 8 May 2023

See all articles by Kiyotaka Nakashima

Kiyotaka Nakashima

Independent Economist

Masahiko Shibamoto

Kobe University - Research Institute for Economics & Business Administration

Koji Takahashi

Bank for International Settlements (BIS)

Date Written: March 25, 2023

Abstract

This paper proposes a method for identifying quantitative and qualitative monetary policy shocks in the balance sheet operations of a central bank. 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

Suggested Citation

Nakashima, Kiyotaka and Shibamoto, Masahiko and Takahashi, Koji, Identifying Quantitative and Qualitative Monetary Policy Shocks (March 25, 2023). Forthcoming in International Journal of Central Banking, Available at SSRN: https://ssrn.com/abstract=2960272 or http://dx.doi.org/10.2139/ssrn.2960272

Masahiko Shibamoto

Kobe University - Research Institute for Economics & Business Administration ( email )

2-1, Rokkodai cho
Nada-ku
Kobe, 657-8501
Japan

Koji Takahashi

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

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