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
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: Suggested Citation