=  ∗  +  ∗  +  (  −  ∗  )+  +  ( − )+  denotes the U.S. policy rate and the shadow policy rate from 2008 onwards.
The Where latter is taken from Wu and Xia (2014) and is an indicator of the monetary policy conditions that summarizes the level of monetary policy easing in the U.S. In this setting, such indicator takes into account the impact of the unconventional monetary policies implemented by the Fed once the federal fund rate reached the zero lower bound.