We use a time-varying parameter vector autoregressive model to assess changes in central banks' pref-
erences during and after the Great Recession. A shadow rate is used as a proxy for interest rate in the
United States and the Euro Area during the zero lower bound. The results show large increases in responses
to in ation and output for both the Federal Reserve and the European Central Bank after the 2008 crisis.
Both preferences on current in ation and output decrease with the monetary policy normalization started
in the US, whereas the contemporaneous coecients stay at their highest level at the end of the sample
period in the Euro Area, since the ECB is still dealing with unconventional measures. However, counter-
factual analysis bring some evidence to the macroeconomic eect of unconventional monetary policies, and
particularly in the Euro Area, where in ation rate would have been negative from 2014 to 2017 without any
unconventional measures.