摘要：The recent global financial crisis, the Great Recession, and
the subsequent implementation of a variety of unconventional
policy measures have raised the issue of how to correctly measure
monetary policy when short-term nominal interest rates
reach the zero lower bound (ZLB). In this paper, we propose a
new “shadow policy rate” for the U.S. economy, using a large
set of data representing the various facets of the U.S. Federal
Reserve’s policy actions. We document that our shadow rate
tracks the effective federal funds rate very closely before the
crisis. More importantly, it provides a reasonable gauge of monetary
policy when the ZLB becomes binding. This facilitates
the assessment of U.S. monetary policy stance against familiar
Taylor-rule benchmarks. Finally, we show that in structural
vector autoregressive (VAR) models, the shadow policy rate
helps identify monetary policy shocks that better reflect the
Federal Reserve’s unconventional policy measures.
