Benjamin Garcia and Arsenios Skaperdas | We estimate a shadow rate for the US economy during the effective lower bound. Our methodology infers the most likely interest rate path consistent with the observed behavior of time series capturing real activity. This measure allows us to quantify the effects of unconventional monetary policy in terms of equivalent short-term interest rate movements. We find that large-scale asset purchases and forward guidance had significant real effects, equivalent of up to a 4 percent reduction in the federal funds rate. We validate our approach through tests of parameter stability, accuracy of out-of-sample forecasts of all variables, identification through external instruments using high frequency monetary surprises, and cross-validation of the method when the federal funds rate is above its effective lower bound.