Masahiko Shibamoto - Academia.edu (original) (raw)
Papers by Masahiko Shibamoto
Journal of computational social science, Apr 9, 2021
This study reviews and assesses the monetary policy implemented by the Bank of Japan (BOJ), focus... more This study reviews and assesses the monetary policy implemented by the Bank of Japan (BOJ), focusing on policies that employ short-term interest rates as the operational target. Our review of empirical studies on monetary policy that influenced the BOJ's policy reveals that they focused on (1) banking system and interest rate mechanisms, (2) financial deregulation and monetary aggregates, (3) the systematic reaction regarding the achievement of the ultimate goal, and (4) confirming how certain evidence serves as material for policy judgments and communication with the public. Our empirical results on the causal effect of monetary policy in the framework of a structural vector autoregressive model attest to the significant impact of Japan's monetary policy on the financial market and macroeconomy from the 1980s onward. Our counterfactual simulations affirm that the central bank should consistently shift its policy stance to achieve macroeconomic stability. Even small policy rate cuts in a low-interest-rate environment make significant contributions to economic recovery.
Social Science Research Network, 2017
We would also like to thank Miho Kohsaka for providing excellent research assistance. This study ... more We would also like to thank Miho Kohsaka for providing excellent research assistance. This study received financial support in the form of a Grants-in-Aid from the Japanese Ministry of Education and Science.
RePEc: Research Papers in Economics, Feb 1, 2015
This paper studies the determinants of size differentials between fiscal multipliers in countries... more This paper studies the determinants of size differentials between fiscal multipliers in countries around the world, both advanced and developing economies. Besides domestic conditions and exchange rate regimes, we also introduce variables not before considered for explaining multiplier size differentials such as capital flows and the openness of capital markets. We also disaggregate GDP into its main components in order to identify the channels through which external and internal factors can influence GDP after a change in fiscal policy. Our results point to the existence of a new channel through which fiscal policy effectiveness is affected. Capital flows, especially FDI flows, play an important role in determining the sizes of fiscal multipliers, and a country's external conditions largely explain GDP changes after fiscal expenditure shocks. Our results also point toward a strong link between a country's international position and its real economy.
This paper proposes a simple approach to measuring social change using text data. The approach is... more This paper proposes a simple approach to measuring social change using text data. The approach is based on the idea that any significant change in a society should affect the distribution of the words used in the society. Essentially we use the total variation distance between the distributions of words in adjacent months as a measure of social change during the latter month. Based on text data from the Nikkei Newspaper from 1989 to 2015, the largest social change observed in Japan during this period took place in March 2011, the month of the Great East Japan Earthquake.
RePEc: Research Papers in Economics, Apr 1, 2016
This paper proposes an empirical framework to explore the role of monetary policy communication. ... more This paper proposes an empirical framework to explore the role of monetary policy communication. We develop an econometric methodology to impose restrictions for the identification of communication effects distinct from the effects of policy decisions. The empirical results support the hypothesis that both policy decision and communication factors are required to adequately capture the financial market reactions to monetary policy news. By applying a text mining approach focused on phrases that appear in press conferences on policy meeting days, we find that the communication factors identified are characterized by the policy intentions and preferences of the central bank.
Social Science Research Network, 2010
International Journal of Multimedia Data Engineering and Management, 2018
Thisarticleproposesanapproachtoconstructingsentimentlexiconsinthefinancialdomain.The approachtake... more Thisarticleproposesanapproachtoconstructingsentimentlexiconsinthefinancialdomain.The approachtakesadvantagesofnewsbulletinsandagivenfinancialvariable,suchasstockprices,to generatecandidatesofsentimentexpressionsbyfusingthetwodatasources.Thecandidatesarethen filteredbasedontheirco-occurrenceswithfinancialseedwordsandaresubsequentlyexpandedby analogicalreasoningusingdistributedrepresentationofwords.Evaluativeexperimentsonreal-world newsandstockpricedatashowsthattheresultinglexiconsaremostlyreasonableandcapturethe characteristicsofthetargetfinancialvariables.Asapotentialapplication,tradingsimulationisalso carriedoutbasedontheresultingfinancialsentimentlexicons,demonstratingtheutilityofthelexicons.
Journal of The Japanese and International Economies, Jun 1, 2022
Given that real-world infection-spread scenarios pose many uncertainties, and predictions and sim... more Given that real-world infection-spread scenarios pose many uncertainties, and predictions and simulations may differ from reality, this study explores factors essential for more realistically describing an infection situation. It furnishes three approaches to the argument that human mobility can create an acceleration of the spread of COVID-19 infection and its cyclicality under the simultaneous relationship. First, the study presents a dynamic model comprising the infection–mobility trade-off and mobility demand, where an increase in human mobility can cause infection explosion and where, conversely, an increase in new infections can be made temporary by suppressing mobility. Second, using time-series data for Japan, it presents empirical evidence for a stochastic trend and cycle in new infection cases. Third, it employs macroeconometrics to ascertain the feasibility of our model’s predictions. Accordingly, from March 2020 to May 2021, the sources of COVID-19 infection spread in Japan varied significantly over time, and each change in the trend and cycle of new infection cases explained approximately half the respective variation.
Applied Economics, Jan 31, 2018
This article studies the determinants of size differentials between fiscal multipliers in countri... more This article studies the determinants of size differentials between fiscal multipliers in countries around the world, both advanced and developing economies. We introduce variables not considered before for explaining multiplier size differentials, such as capital flows and the openness of capital markets, while controlling for domestic conditions and exchange rate regimes. We also disaggregate GDP into its main components in order to identify the channels through which external and internal factors can influence GDP after a change in fiscal policy. Our results point to the existence of a new channel through which fiscal policy effectiveness is affected. Capital flows, especially FDI flows, play an important role in determining the sizes of fiscal multipliers, and a country's external conditions largely explain GDP changes after fiscal expenditure shocks. Our results also point towards a strong link between a country's international position and its real economy.
Journal of the Japanese and International Economies, 2022
Given that real-world infection-spread scenarios pose many uncertainties, and predictions and sim... more Given that real-world infection-spread scenarios pose many uncertainties, and predictions and simulations may differ from reality, this study explores factors essential for more realistically describing an infection situation. It furnishes three approaches to the argument that human mobility can create an acceleration of the spread of COVID-19 infection and its cyclicality under the simultaneous relationship. First, the study presents a dynamic model comprising the infection–mobility trade-off and mobility demand, where an increase in human mobility can cause infection explosion and where, conversely, an increase in new infections can be made temporary by suppressing mobility. Second, using time-series data for Japan, it presents empirical evidence for a stochastic trend and cycle in new infection cases. Third, it employs macroeconometrics to ascertain the feasibility of our model’s predictions. Accordingly, from March 2020 to May 2021, the sources of COVID-19 infection spread in Japan varied significantly over time, and each change in the trend and cycle of new infection cases explained approximately half the respective variation.
Applied Economics, 2018
This article studies the determinants of size differentials between fiscal multipliers in countri... more This article studies the determinants of size differentials between fiscal multipliers in countries around the world, both advanced and developing economies. We introduce variables not considered before for explaining multiplier size differentials, such as capital flows and the openness of capital markets, while controlling for domestic conditions and exchange rate regimes. We also disaggregate GDP into its main components in order to identify the channels through which external and internal factors can influence GDP after a change in fiscal policy. Our results point to the existence of a new channel through which fiscal policy effectiveness is affected. Capital flows, especially FDI flows, play an important role in determining the sizes of fiscal multipliers, and a country's external conditions largely explain GDP changes after fiscal expenditure shocks. Our results also point towards a strong link between a country's international position and its real economy.
2017 IEEE International Conference on Information Reuse and Integration (IRI), 2017
This paper describes an approach to constructing sentiment lexicons in the financial domain. The ... more This paper describes an approach to constructing sentiment lexicons in the financial domain. The approach takes advantages of news headlines and a given financial variable, such as stock prices, so as to generate candidates of sentiment expressions by fusing the two data resources. The candidates are then filtered based on their co-occurrences with financial seed words and are subsequently expanded by analogical reasoning by using distributed representation of words. Evaluative experiments on real-world news and stock price data show that the resulting lexicons are mostly reasonable and capture the characteristics of the target financial variables.
Journal of Computational Social Science, 2021
This study reviews and assesses the monetary policy implemented by the Bank of Japan (BOJ), focus... more This study reviews and assesses the monetary policy implemented by the Bank of Japan (BOJ), focusing on policies that employ short-term interest rates as the operational target. Our review of empirical studies on monetary policy that influenced the BOJ's policy reveals that they focused on (1) banking system and interest rate mechanisms, (2) financial deregulation and monetary aggregates, (3) the systematic reaction regarding the achievement of the ultimate goal, and (4) confirming how certain evidence serves as material for policy judgments and communication with the public. Our empirical results on the causal effect of monetary policy in the framework of a structural vector autoregressive model attest to the significant impact of Japan's monetary policy on the financial market and macroeconomy from the 1980s onward. Our counterfactual simulations affirm that the central bank should consistently shift its policy stance to achieve macroeconomic stability. Even small policy rate cuts in a low-interest-rate environment make significant contributions to economic recovery. Keywords Japanese macroeconomy • Short-term interest rate • Causal effect of monetary policy • Counterfactual simulation • Vector autoregressive model We are grateful to Masato Shizume and two anonymous referees for helpful comments and discussions. We would also like to thank Miho Kohsaka and Mayura Takami for providing excellent research assistance. This study received financial support from the Japan Society for the Promotion of Science (JSPS KAKENHI, Grant Numbers 15H05729, 17K03804, and 20H05633).
Reconstruction of the Public Sphere in the Socially Mediated Age, 2017
This paper proposes a simple approach to measuring social change using text data. The approach is... more This paper proposes a simple approach to measuring social change using text data. The approach is based on the idea that any significant change in a society should affect the distribution of the words used in the society. Essentially we use the total variation distance between the distributions of words in adjacent months as a measure of social change during the latter month. Based on text data from the Nikkei Newspaper from 1989 to 2015, the largest social change observed in Japan during this period took place in March 2011, the month of the Great East Japan Earthquake.
This paper proposes an empirical framework to explore the role of monetary policy communication. ... more This paper proposes an empirical framework to explore the role of monetary policy communication. We develop an econometric methodology to impose restrictions for the identification of communication effects distinct from the effects of policy decisions. The empirical results support the hypothesis that both policy decision and communication factors are required to adequately capture the financial market reactions to monetary policy news. By applying a text mining approach focused on phrases that appear in press conferences on policy meeting days, we find that the communication factors identified are characterized by the policy intentions and preferences of the central bank.
SSRN Electronic Journal, 2017
We investigate the effects of unconventional monetary policy on bank lending, using a bank-firm l... more We investigate the effects of unconventional monetary policy on bank lending, using a bank-firm loan-level matched dataset from 1999 to 2015 by extracting exogenous changes in unconventional monetary policies over the past 20 years in Japan. We find that an increase in the share of unconventional assets held by the Bank of Japan boosts lending to firms with higher credit risks from banks with lower liquidity ratios and higher risk appetites while an expansion of the monetary base does not have such effects. Furthermore, we find that interest rate cuts stimulate lending to risky firms from banks with higher leverage.
International Journal of Multimedia Data Engineering and Management, 2018
This article proposes an approach to constructing sentiment lexicons in the financial domain. The... more This article proposes an approach to constructing sentiment lexicons in the financial domain. The approach takes advantages of news bulletins and a given financial variable, such as stock prices, to generate candidates of sentiment expressions by fusing the two data sources. The candidates are then filtered based on their co-occurrences with financial seed words and are subsequently expanded by analogical reasoning using distributed representation of words. Evaluative experiments on real-world news and stock price data shows that the resulting lexicons are mostly reasonable and capture the characteristics of the target financial variables. As a potential application, trading simulation is also carried out based on the resulting financial sentiment lexicons, demonstrating the utility of the lexicons.
SSRN Electronic Journal, 2017
We would also like to thank Miho Kohsaka for providing excellent research assistance. This study ... more We would also like to thank Miho Kohsaka for providing excellent research assistance. This study received financial support in the form of a Grants-in-Aid from the Japanese Ministry of Education and Science.
RePEc: Research Papers in Economics, 2019
This paper proposes a novel method for identifying quantitative and qualitative monetary policy s... more This paper proposes a novel method for identifying quantitative and qualitative monetary policy shocks in central bank's balance sheet operations. Compared with existing identification methods, our method is agnostic and flexible in that it does not assume the way of response of two balance sheet instruments, namely, the size and composition of the central bank's balance sheet, after the bank makes policy decisions. Under some restrictions imposed in the vector autoregressive model, we identify the two unconventional policy shocks as "anticipated" shocks that best portend the current and future paths of the unconventional policy indicators in response to the policy shocks. We observe in a robust manner that the qualitative easing shocks have expansionary effects on the real economy, while the quantitative easing shocks do not.
Journal of computational social science, Apr 9, 2021
This study reviews and assesses the monetary policy implemented by the Bank of Japan (BOJ), focus... more This study reviews and assesses the monetary policy implemented by the Bank of Japan (BOJ), focusing on policies that employ short-term interest rates as the operational target. Our review of empirical studies on monetary policy that influenced the BOJ's policy reveals that they focused on (1) banking system and interest rate mechanisms, (2) financial deregulation and monetary aggregates, (3) the systematic reaction regarding the achievement of the ultimate goal, and (4) confirming how certain evidence serves as material for policy judgments and communication with the public. Our empirical results on the causal effect of monetary policy in the framework of a structural vector autoregressive model attest to the significant impact of Japan's monetary policy on the financial market and macroeconomy from the 1980s onward. Our counterfactual simulations affirm that the central bank should consistently shift its policy stance to achieve macroeconomic stability. Even small policy rate cuts in a low-interest-rate environment make significant contributions to economic recovery.
Social Science Research Network, 2017
We would also like to thank Miho Kohsaka for providing excellent research assistance. This study ... more We would also like to thank Miho Kohsaka for providing excellent research assistance. This study received financial support in the form of a Grants-in-Aid from the Japanese Ministry of Education and Science.
RePEc: Research Papers in Economics, Feb 1, 2015
This paper studies the determinants of size differentials between fiscal multipliers in countries... more This paper studies the determinants of size differentials between fiscal multipliers in countries around the world, both advanced and developing economies. Besides domestic conditions and exchange rate regimes, we also introduce variables not before considered for explaining multiplier size differentials such as capital flows and the openness of capital markets. We also disaggregate GDP into its main components in order to identify the channels through which external and internal factors can influence GDP after a change in fiscal policy. Our results point to the existence of a new channel through which fiscal policy effectiveness is affected. Capital flows, especially FDI flows, play an important role in determining the sizes of fiscal multipliers, and a country's external conditions largely explain GDP changes after fiscal expenditure shocks. Our results also point toward a strong link between a country's international position and its real economy.
This paper proposes a simple approach to measuring social change using text data. The approach is... more This paper proposes a simple approach to measuring social change using text data. The approach is based on the idea that any significant change in a society should affect the distribution of the words used in the society. Essentially we use the total variation distance between the distributions of words in adjacent months as a measure of social change during the latter month. Based on text data from the Nikkei Newspaper from 1989 to 2015, the largest social change observed in Japan during this period took place in March 2011, the month of the Great East Japan Earthquake.
RePEc: Research Papers in Economics, Apr 1, 2016
This paper proposes an empirical framework to explore the role of monetary policy communication. ... more This paper proposes an empirical framework to explore the role of monetary policy communication. We develop an econometric methodology to impose restrictions for the identification of communication effects distinct from the effects of policy decisions. The empirical results support the hypothesis that both policy decision and communication factors are required to adequately capture the financial market reactions to monetary policy news. By applying a text mining approach focused on phrases that appear in press conferences on policy meeting days, we find that the communication factors identified are characterized by the policy intentions and preferences of the central bank.
Social Science Research Network, 2010
International Journal of Multimedia Data Engineering and Management, 2018
Thisarticleproposesanapproachtoconstructingsentimentlexiconsinthefinancialdomain.The approachtake... more Thisarticleproposesanapproachtoconstructingsentimentlexiconsinthefinancialdomain.The approachtakesadvantagesofnewsbulletinsandagivenfinancialvariable,suchasstockprices,to generatecandidatesofsentimentexpressionsbyfusingthetwodatasources.Thecandidatesarethen filteredbasedontheirco-occurrenceswithfinancialseedwordsandaresubsequentlyexpandedby analogicalreasoningusingdistributedrepresentationofwords.Evaluativeexperimentsonreal-world newsandstockpricedatashowsthattheresultinglexiconsaremostlyreasonableandcapturethe characteristicsofthetargetfinancialvariables.Asapotentialapplication,tradingsimulationisalso carriedoutbasedontheresultingfinancialsentimentlexicons,demonstratingtheutilityofthelexicons.
Journal of The Japanese and International Economies, Jun 1, 2022
Given that real-world infection-spread scenarios pose many uncertainties, and predictions and sim... more Given that real-world infection-spread scenarios pose many uncertainties, and predictions and simulations may differ from reality, this study explores factors essential for more realistically describing an infection situation. It furnishes three approaches to the argument that human mobility can create an acceleration of the spread of COVID-19 infection and its cyclicality under the simultaneous relationship. First, the study presents a dynamic model comprising the infection–mobility trade-off and mobility demand, where an increase in human mobility can cause infection explosion and where, conversely, an increase in new infections can be made temporary by suppressing mobility. Second, using time-series data for Japan, it presents empirical evidence for a stochastic trend and cycle in new infection cases. Third, it employs macroeconometrics to ascertain the feasibility of our model’s predictions. Accordingly, from March 2020 to May 2021, the sources of COVID-19 infection spread in Japan varied significantly over time, and each change in the trend and cycle of new infection cases explained approximately half the respective variation.
Applied Economics, Jan 31, 2018
This article studies the determinants of size differentials between fiscal multipliers in countri... more This article studies the determinants of size differentials between fiscal multipliers in countries around the world, both advanced and developing economies. We introduce variables not considered before for explaining multiplier size differentials, such as capital flows and the openness of capital markets, while controlling for domestic conditions and exchange rate regimes. We also disaggregate GDP into its main components in order to identify the channels through which external and internal factors can influence GDP after a change in fiscal policy. Our results point to the existence of a new channel through which fiscal policy effectiveness is affected. Capital flows, especially FDI flows, play an important role in determining the sizes of fiscal multipliers, and a country's external conditions largely explain GDP changes after fiscal expenditure shocks. Our results also point towards a strong link between a country's international position and its real economy.
Journal of the Japanese and International Economies, 2022
Given that real-world infection-spread scenarios pose many uncertainties, and predictions and sim... more Given that real-world infection-spread scenarios pose many uncertainties, and predictions and simulations may differ from reality, this study explores factors essential for more realistically describing an infection situation. It furnishes three approaches to the argument that human mobility can create an acceleration of the spread of COVID-19 infection and its cyclicality under the simultaneous relationship. First, the study presents a dynamic model comprising the infection–mobility trade-off and mobility demand, where an increase in human mobility can cause infection explosion and where, conversely, an increase in new infections can be made temporary by suppressing mobility. Second, using time-series data for Japan, it presents empirical evidence for a stochastic trend and cycle in new infection cases. Third, it employs macroeconometrics to ascertain the feasibility of our model’s predictions. Accordingly, from March 2020 to May 2021, the sources of COVID-19 infection spread in Japan varied significantly over time, and each change in the trend and cycle of new infection cases explained approximately half the respective variation.
Applied Economics, 2018
This article studies the determinants of size differentials between fiscal multipliers in countri... more This article studies the determinants of size differentials between fiscal multipliers in countries around the world, both advanced and developing economies. We introduce variables not considered before for explaining multiplier size differentials, such as capital flows and the openness of capital markets, while controlling for domestic conditions and exchange rate regimes. We also disaggregate GDP into its main components in order to identify the channels through which external and internal factors can influence GDP after a change in fiscal policy. Our results point to the existence of a new channel through which fiscal policy effectiveness is affected. Capital flows, especially FDI flows, play an important role in determining the sizes of fiscal multipliers, and a country's external conditions largely explain GDP changes after fiscal expenditure shocks. Our results also point towards a strong link between a country's international position and its real economy.
2017 IEEE International Conference on Information Reuse and Integration (IRI), 2017
This paper describes an approach to constructing sentiment lexicons in the financial domain. The ... more This paper describes an approach to constructing sentiment lexicons in the financial domain. The approach takes advantages of news headlines and a given financial variable, such as stock prices, so as to generate candidates of sentiment expressions by fusing the two data resources. The candidates are then filtered based on their co-occurrences with financial seed words and are subsequently expanded by analogical reasoning by using distributed representation of words. Evaluative experiments on real-world news and stock price data show that the resulting lexicons are mostly reasonable and capture the characteristics of the target financial variables.
Journal of Computational Social Science, 2021
This study reviews and assesses the monetary policy implemented by the Bank of Japan (BOJ), focus... more This study reviews and assesses the monetary policy implemented by the Bank of Japan (BOJ), focusing on policies that employ short-term interest rates as the operational target. Our review of empirical studies on monetary policy that influenced the BOJ's policy reveals that they focused on (1) banking system and interest rate mechanisms, (2) financial deregulation and monetary aggregates, (3) the systematic reaction regarding the achievement of the ultimate goal, and (4) confirming how certain evidence serves as material for policy judgments and communication with the public. Our empirical results on the causal effect of monetary policy in the framework of a structural vector autoregressive model attest to the significant impact of Japan's monetary policy on the financial market and macroeconomy from the 1980s onward. Our counterfactual simulations affirm that the central bank should consistently shift its policy stance to achieve macroeconomic stability. Even small policy rate cuts in a low-interest-rate environment make significant contributions to economic recovery. Keywords Japanese macroeconomy • Short-term interest rate • Causal effect of monetary policy • Counterfactual simulation • Vector autoregressive model We are grateful to Masato Shizume and two anonymous referees for helpful comments and discussions. We would also like to thank Miho Kohsaka and Mayura Takami for providing excellent research assistance. This study received financial support from the Japan Society for the Promotion of Science (JSPS KAKENHI, Grant Numbers 15H05729, 17K03804, and 20H05633).
Reconstruction of the Public Sphere in the Socially Mediated Age, 2017
This paper proposes a simple approach to measuring social change using text data. The approach is... more This paper proposes a simple approach to measuring social change using text data. The approach is based on the idea that any significant change in a society should affect the distribution of the words used in the society. Essentially we use the total variation distance between the distributions of words in adjacent months as a measure of social change during the latter month. Based on text data from the Nikkei Newspaper from 1989 to 2015, the largest social change observed in Japan during this period took place in March 2011, the month of the Great East Japan Earthquake.
This paper proposes an empirical framework to explore the role of monetary policy communication. ... more This paper proposes an empirical framework to explore the role of monetary policy communication. We develop an econometric methodology to impose restrictions for the identification of communication effects distinct from the effects of policy decisions. The empirical results support the hypothesis that both policy decision and communication factors are required to adequately capture the financial market reactions to monetary policy news. By applying a text mining approach focused on phrases that appear in press conferences on policy meeting days, we find that the communication factors identified are characterized by the policy intentions and preferences of the central bank.
SSRN Electronic Journal, 2017
We investigate the effects of unconventional monetary policy on bank lending, using a bank-firm l... more We investigate the effects of unconventional monetary policy on bank lending, using a bank-firm loan-level matched dataset from 1999 to 2015 by extracting exogenous changes in unconventional monetary policies over the past 20 years in Japan. We find that an increase in the share of unconventional assets held by the Bank of Japan boosts lending to firms with higher credit risks from banks with lower liquidity ratios and higher risk appetites while an expansion of the monetary base does not have such effects. Furthermore, we find that interest rate cuts stimulate lending to risky firms from banks with higher leverage.
International Journal of Multimedia Data Engineering and Management, 2018
This article proposes an approach to constructing sentiment lexicons in the financial domain. The... more This article proposes an approach to constructing sentiment lexicons in the financial domain. The approach takes advantages of news bulletins and a given financial variable, such as stock prices, to generate candidates of sentiment expressions by fusing the two data sources. The candidates are then filtered based on their co-occurrences with financial seed words and are subsequently expanded by analogical reasoning using distributed representation of words. Evaluative experiments on real-world news and stock price data shows that the resulting lexicons are mostly reasonable and capture the characteristics of the target financial variables. As a potential application, trading simulation is also carried out based on the resulting financial sentiment lexicons, demonstrating the utility of the lexicons.
SSRN Electronic Journal, 2017
We would also like to thank Miho Kohsaka for providing excellent research assistance. This study ... more We would also like to thank Miho Kohsaka for providing excellent research assistance. This study received financial support in the form of a Grants-in-Aid from the Japanese Ministry of Education and Science.
RePEc: Research Papers in Economics, 2019
This paper proposes a novel method for identifying quantitative and qualitative monetary policy s... more This paper proposes a novel method for identifying quantitative and qualitative monetary policy shocks in central bank's balance sheet operations. Compared with existing identification methods, our method is agnostic and flexible in that it does not assume the way of response of two balance sheet instruments, namely, the size and composition of the central bank's balance sheet, after the bank makes policy decisions. Under some restrictions imposed in the vector autoregressive model, we identify the two unconventional policy shocks as "anticipated" shocks that best portend the current and future paths of the unconventional policy indicators in response to the policy shocks. We observe in a robust manner that the qualitative easing shocks have expansionary effects on the real economy, while the quantitative easing shocks do not.