برآورد اثرات سیاست پولی هنگامی که نرخ بهره نزدیک به صفر است

Using a nonlinear structural VAR approach, we estimate the effects of exogenous monetary policy shocks in the presence of a zero lower bound constraint on nominal interest rates and examine the impact of such a constraint on the effectiveness of counter-cyclical monetary policies based on the data from Japan. We find that when interest rates are at zero, the output effect of exogenous shocks to monetary policy is cut in half if the central bank continues to target the interest rate. The conditional impulse response functions allow us to isolate the effect of monetary policy shocks operating through the interest rate channel when other possible channels of monetary transmission are present.

Since nominal interest rates cannot be lower than zero, one implication of the monetary transmission through the interest rate channel is that a liquidity trap would eliminate the effect of monetary shocks on the real economy. This possibility is not just a purely theoretical concern in the face of the recent experience of Japan, Europe and the United States. In the case of Japan, the overnight call rate, which is the policy instrument for the Bank of Japan, has been below 50 basis points since mid-1995, accompanied by economic stagnancy and deflationary pressure. In this paper we propose a structural vector autoregression (VAR) model with a censored variable and use the data on Japanese economy to obtain empirical estimates of the monetary policy effects when nominal interest rates hit the zero bound, and to investigate the extent to which such a constraint might affect the ability of a central bank to conduct its policy.1 There are three distinct contributions of our study to the analysis of the modern Japanese experience, which is a major historical period of substantial interest to monetary and financial economists. First, we show that macroeconomic responses to a standard measure of policy shocks are different at low levels of interest rates. Second, our analysis suggests that the zero bound constraint was important for the evolution of the Japanese economy. Third, we show that a quantitative monetary policy may have effects that are quite strong at these low levels of rates and indeed, which look very similar to monetary policy variations brought about by interest rate movements at higher levels of rates. These results are useful in evaluating different policy options for the Japanese economy and allow us to draw lessons for other countries regarding the impact of the zero bound on monetary policy. The study can also help us evaluate empirically the relative importance of different monetary transmission mechanisms.

In this paper we estimate the effect of an exogenous monetary shock when nominal interest rates are at zero and examine the impacts of the zero bound constraint on the effectiveness of counter-cyclical monetary policy. While there are many recent studies trying to evaluate the extent to which the zero bound interferes with the conduct of monetary policy by simulating structural models of the U.S. economy, those quantitative results are inevitably model specific and often lack direct empirical support. The low interest rates and the apparent presence of the liquidity trap in Japan during the past decade make it possible to address such issues empirically using a nonlinear structural VAR. We find that when the interest rate is on the zero bound, up to 50% of the impact of an exogenous monetary innovation on output can be eliminated if the monetary authority continues to target the interest rate. The conditional IRFs allow us to isolate the impact of monetary shocks operating through the interest-rate channel when other possible channels of monetary transmission are present. We find that (i) an exogenous monetary shock may still have a significant effect on the real economy when nominal interest rates are at zero, (ii) it is the interest-rate channel that appears to be the most important mechanism of monetary transmission. Moreover, we also find that the presence of the zero bound on nominal interest rates could severely limit the ability of central banks to pursue a counter-cyclical interest-rate policy when facing adverse macroeconomic shocks. It is often debated whether or not the BoJ should conduct a further monetary easing given the stagnant domestic economy and the zero bound constraint on its policy instrument. This paper provides some empirical evidence supporting the view that the monetary authority can rely on quantitative measures to conduct an effective monetary policy when the interest rate is on the zero bound.