  I show that the Zero Lower Bound (ZLB) on interest rates can be used to
identify the causal effects of monetary policy. Identification depends on the
extent to which the ZLB limits the efficacy of monetary policy. I propose a
simple way to test the efficacy of unconventional policies, modelled via a
`shadow rate'. I apply this method to U.S. monetary policy using a
three-equation SVAR model of inflation, unemployment and the federal funds
rate. I reject the null hypothesis that unconventional monetary policy has no
effect at the ZLB, but find some evidence that it is not as effective as
conventional monetary policy.
