Typically, a quantity that monetary policy appears to target, such as corporate bond spreads or term premia, has been used to do so. One difficulty in interpreting the results of this strand of the literature stems from the possibility that interest rate spreads may reflect information that goes beyond what is captured by US monetary policy.
As a second caveat, I would like to add that almost all unconventional monetary policy measures that were taken so far were expansionary. As available studies are necessarily based on past data, they might not be informative regarding the effects policy actions have in the opposite direction.