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Quantitative easing in the shadows: modelling the transmission of asset purchases through shadow rate dynamics
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This paper investigates the relationship between the Federal Reserve’s unconventional monetary policies and estimates of the shadow interest rate from 2003 to 2024. Using estimates of Wu and Xia (2016) and Krippner (2015) for the shadow rate, the effects of asset purchases
are quantified across several quantitative easing episodes, including the Great Financial Crisis and the COVID-19 pandemic. Findings reveal that asset purchases significantly reduced the shadow rate, but there is considerable heterogeneity in their effectiveness across programs, with forward guidance also playing an important role.
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Balance sheet policy Shadow rate Effective lower bound