Measures of the stance of United States monetary policy
Estimated monetary policy measures
The United States monetary policy measures file contains estimated daily, month-end and monthly average estimates of three different summary measures of the stance of monetary policy for the United States, the Shadow Short Rate (SSR), the Expected Time to Zero (ETZ), and the Effective Monetary Stimulus (EMS).
The Comparison of international monetary policy measures page contains a comparison of SSR estimates for the United States, the euro area, Japan, and the United Kingdom Note that the US SSR results on that page are estimated using a different dataset than those on the present page, for better comparability to the results for the other economies.
The overview and documentation of how the estimates are produced is contained in the following section, and figure 1 plots the monthly averages for the United States.
Figure 1: US monetary policy measures
Notes: The left panels of figure 1 contain the estimates over the entire sample, with NBER recessions indicated with shading. The right panels are from 2007, therefore highlighting the lower-bound period. Major unconventional monetary policy events are indicated as down arrows for easing and up arrows for tightening, and the progressive tapering of QE3 is indicated from the first tapering announcement to the announcement of the program’s termination. The ETZ and EMS scales have been inverted for ease of comparing movements between the different measures.
Overview and documentation
The estimates are obtained using the Krippner (2011-2015) shadow/lower bound framework with two factors, i.e. the K-ANSM(2), a fixed 12.5 basis point lower bound, and yield curve data with maturities from 0.25 to 30 years. The first link at the end of this section provides further details and discusses how to interpret the different measures.
SSR estimates can be very sensitive to the model specification, data, and estimation method. However, the SSR results from different K-ANSM(2) applications are robust in profile, relatively robust in magnitude, and correspond well with unconventional monetary policy events. These properties do not generally hold for SSR estimates from three-factor models, which includes K-ANSM(3) models and the Wu and Xia (2016) model. The second link below and the historical documentation in the following section contains further details.
Historical estimates and documentation
The first link below contains the historical estimates, for reference, before improvements were made to the model in May 2016. An overview of the changes and their impact are available in appendix B of the May 2016 documentation. The September 2014 documentation below details the original model.
Code for lower-bound term structure modeling
The MatLab code page contains the original MatLab code and the new code used from May 2016.
The Python code page contains the Python code equivalent to the original MatLab code. It was kindly translated and made available by Amandeep Singh.