Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

We have benefited from extensive discussions with Jim Hamilton and Drew Creal. We also thank Jim Bullard, John Cochrane, Greg Duffee, Benjamin Friedman, Refet Gurkaynak, Kinda Hachem, Anil Kashyap, Leo Krippner, Randy Kroszner, Jun Ma, David Romer, Glenn Rudebusch, Jeff Russell, Frank Schorfheide, Matthew Shapiro, Eric Swanson, Ruey Tsay, Ken West, Johannes Wieland, John Williams, three anonymous referees, and seminar and conference participants at Chicago Booth, UCSD, NBER Summer Institute Monetary Economics Workshop, St. Louis Fed Applied Time Series Econometrics Workshop, FRBSF ZLB workshop, Second BIS Research Network meeting, Atlanta Fed, Boston Fed, Chicago Fed, Dallas Fed, and Kansas City Fed for helpful suggestions. Cynthia Wu gratefully acknowledges financial support from the IBM Faculty Research Fund at the University of Chicago Booth School of Business. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. Our shadow rate data with monthly update is available on http://faculty.chicagobooth.edu/jing.wu/research/data/WX.html

• May 14, 2014
• July 24, 2014