摘要：In this paper, we compare the transmission of a conventional monetary policyshock with that of an unexpected decrease in the term spread, which mirrors quantitativeeasing. Employing a time-varying vector autoregression with stochastic volatility, our results aretwo-fold: First, the spread shock works mainly through a boost to consumer wealth growth, whilea conventional monetary policy shock affects real output growth via a broad credit/bank lendingchannel. Second, both shocks exhibit a distinct pattern over our sample period. More specifically, wefind small output effects of a conventional monetary policy shock during the period of the globalfinancial crisis and stronger effects in its aftermath. This might imply that when the central bank hasleft the policy rate unaltered for an extended period of time, a policy surprise might boost outputparticularly strongly. By contrast, the spread shock has affected output growth most strongly duringthe period of the global financial crisis and less so thereafter. This might point to diminishing effectsof large-scale asset purchase programs.
