Netherlands Econometric Study Group
The Netherlands Econometric Study Group (NESG) is a yearly conference that provides a forum for econometricians from the Netherlands and beyond to exchange research ideas and developments on theoretical and applied econometrics.
NESG 2020 (14th Meeting): 15 May 2020, virtually via Zoom
The NESG 2020 conference will be held virtually on May 15 2020 and it is organized by Tilburg University, Department of Econometrics and OR.
Sophocles Mavroeidis (University of Oxford)
Title: “Identification at the Zero Lower Bound”,
I show that the Zero Lower Bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy. Identification depends on the extent to which the ZLB limits the efficacy of monetary policy. I develop a general econometric methodology for the identification and estimation of structural vector autoregressions (SVARs) with an occasionally binding constraint. The method provides a simple way to test the efficacy of unconventional policies, modelled via a ‘shadow rate’. I apply this method to U.S. monetary policy using a three-equation SVAR model of inflation, unemployment and the federal funds rate. I reject the null hypothesis that unconventional monetary policy has no effect at the ZLB, but find some evidence that it is not as effective as conventional monetary policy.
Paper: DOWNLOAD HERE