The shadow rates below are computed using the model in Ikeda et al. (2020), which represent the desired policy stance for the US and Japan.
  • The downloadable data files provide shadow rates for each country during 1985Q3-2019Q1.
  • In accordance with the paper above, ξ measures the effectiveness of the unconventional monetary policy on impact. α provides a measure for forward guidance. A larger α means interest rates will stay longer at the effective lower bound.
  • The downloadable data files provide shadow rate estimates within the identified set of ξ, under alternative assumptions on the value of α.
  • The first cell in each column specifies the value of α assumed and the value of ξ that the column corresponds to.
  • The shadow rate plots below assume α = 0.
US Shadow Rate
Download data in csv format.
Japan Shadow Rate
Download data in csv format.