  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 develop a
general econometric methodology for the identification and estimation of
structural vector autoregressions (SVARs) with an occasionally binding
constraint. The method provides 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.
