This paper proposes a new estimation framework for identifying monetary policy shocks in both conventional and unconventional policy regimes using a structural VAR model. Exploiting a latent threshold modeling strategy that induces time-varying shrinkage of the parameters, we explore regime-switching identification constraints with a time-varying overidentification for the interest rate zero lower bound. We empirically analyze Japan's monetary policy to illustrate the proposed approach for modeling regime-switching between conventional and unconventional monetary policy periods. The estimation results show that the proposed model is preferred over a nested standard time-varying parameter VAR model, and that the impulse responses of inflation and the output gap to a bank reserve shock appear to be positive but highly uncertain in the unconventional policy periods.