Unconventional monetary policy in US: empirical evidence from estimated shadow rate DSGE model

摘要

Recent empirical research on macro-finance has proved that the shadow rate can be used as an accurate measure to represent the stance of unconventional monetary policy in the zero lower bound (ZLB) environment. We use the shadow rate to estimate a dynamic stochastic general equilibrium (DSGE) model of US economy and conduct counterfactual simulation to quantify the macroeconomic effects of unconventional monetary policy implemented by the Fed. Compared with the estimation result of pre-ZLB sub-sample, the structural parameters estimated from full-samples with shadow rate have reasonable posterior distributions that are consistent with most of related DSGE literatures. This finding validates the applicability of shadow rate in the estimation of DSGE models without using any nonlinear techniques. Counterfactual simulation shows that without the unconventional monetary policy conducted by the Fed, macroeconomic variables of US economy would have worse performance than their actual realisations.