Unconventional but Different After All? A Unified Series of Narrative Monetary Policy Shocks

We construct a unified series of narrative monetary policy shocks for the U.S. that spans both conventional and unconventional policy episodes, combining Romer and Romer’s identification with Wu and Xia’s shadow rate. The methodological consistency across regimes allows us to formally test whether monetary policy transmission differs at the zero lower bound. Structural-break tests cannot reject equality of aggregate peak responses, but strongly reject it for wealth inequality. Expansionary unconventional shocks increase wealth inequality-the opposite of conventional easing-because stock prices rise disproportionately relative to house prices, benefiting equity-heavy households at the top of the distribution.