Abstract
This thesis examines four approaches of monetary policy instruments and investigates how well these measures can capture Federal Reserve policy actions from 1960 to 2019 by VAR model. The results show that the traditional monetary policy instrument, the federal funds rate, can predict the industrial production well at ‘normal’ economic periods. In contrast, the policy instruments of a mix of the nonborrowed reserve to total reserves and “total Treasury securities held by the Fed” are better indicators of monetary policy stance at the Zero Lower Bound (ZLB) period. This finding implies that these measures can capture parts of the unconventional monetary policy when the funds rate is close to zero. However, the policy instrument “total asset in the Fed’s balance sheet” exhibits no predictive power for economic activity.