Yield Curve Control and Unconventional Monetary Policy in a Cross-Country Comparison

We investigate the effectiveness of yield curve control (YCC) vis-à-vis other unconventional monetary policies (UMP) in a panel difference-in-differences framework of 26 economies that employed UMP between 1995 and mid-2021 for countries that made YCC related announcements. Shadow rates are used to measure other UMPs and we consider effects on yield levels, yield volatility, trend components of yields, as well as an estimator for intertemporal treatment effects. We further perform a multivariate cointegration analysis of yields around YCC announcment dates for robustness purposes. Our findings indicate that YCC generated effects beyond UMPs, but treatment effects are largely limited to the case of Japan's adoption of YCC in 2016