Unconventional monetary policy reaction functions: evidence from the U.S.

We specify unconventional monetary policy reaction functions for the Fed using linear and nonlinear econometric frameworks. We find that nonstandard policy measures are largely driven by the dynamics of inflation and the output gap, with the effect being particularly strong during QE rounds. Moreove...

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Bibliographic Details
Main Authors: Luca Agnello, Vitor Castro, Gilles Dufrénot, Fredj Jawadi, Ricardo Sousa
Format: Default Article
Published: 2019
Subjects:
Asset prices
Central bank reserves
Inflation
Nonlinear models
Output gap
Shadow short rate
Term spread
Unconventional monetary policy reaction function
Online Access:https://hdl.handle.net/2134/9938120.v1
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https://hdl.handle.net/2134/9938120.v1

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