2014 Volume 2014 Pages 77-83
The purpose of the paper is to statistically quantify the effectiveness of unconventional monetary policy which the FRB implemented after the collapse of Lehman Brothers in September, 2008. The first quantity easy monetary policy refereed to QE1 is implemented from March of 2009 through March of 2010 and that of QE2 is from Nov. of 2010 through June of 2011. The statistical problem we have is the shortage of sample size. The estimation results by small sample size tend to have the bias. Honda and Tachibana (2011), who estimate the Japan's QE, to avoid the bias, expanded small sampling periods to large ones by using dummy variables. We apply their method to USA case and analyze the comprehensive economic impact and transmission mechanisms of the monetary policy in USA. Analysis using the structural Vector Auto Regressions (SVAR) model has shown the following three observations. First, QE1 and QE2 raise aggregate output through transmission paths of stock price, home price and exchange rates. Second, QEs decreased vix (Volatility index), so that investors would like to take risks in stock market trading. Third, QEs raise longer term interest rates via the income, price-level, and Fisher effects. These results suggest that the unconventional monetary policy in USA has been effective as a means to ease the economic slump.