Inferring the Shadow Rate from Real Activity | Zendy

Benjamin Garcia | Zendy; Arsenios Skaperdas | Zendy

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Inferring the Shadow Rate from Real Activity

Author(s) -

Benjamin Garcia,

Arsenios Skaperdas

Publication year - 2017

Publication title -

finance and economics discussion series

Language(s) - English

Resource type - Journals

eISSN - 2767-3898

pISSN - 1936-2854

DOI - 10.17016/feds.2017.106

Subject(s) - shadow (psychology) , federal funds , economics , monetary policy , real interest rate , asset (computer security) , econometrics , interest rate , term (time) , short rate , yield curve , monetary economics , computer science , psychology , computer security , physics , quantum mechanics , psychotherapist

We estimate a shadow rate consistent with the paths of time series capturing real activity. This allows us to quantify the real effects of unconventional monetary policy in terms of equivalent short-term interest rate movements. We find that large-scale asset purchases and forward guidance had significant real effects equivalent of up to a four percent reduction in the federal funds rate.

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