The macroeconomic effects of quantitative easing in the Euro area: Evidence from an estimated DSGE model
This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank's (ECB's) quantitative easing (QE) programme. Using data on government debt stocks and yields across maturities, we identify the parameter governing portfolio adjustment in the private sector. Shock decompositions suggest a positive contribution of ECB QE to annual euro area output growth and inflation in 2015-16 of up to 0.3 and 0.6 percentage points (pp) in the linearised version of the model. Allowing for an occasionally binding zero-bound constraint by using piecewise linear solution techniques raises the positive impact to up to 0.7 and 0.8 pp.
Year of publication: |
2018
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Authors: | Hohberger, Stefan ; Priftis, Romanos ; Vogel, Lukas |
Publisher: |
Ottawa : Bank of Canada |
Subject: | Economic models | Interest rates | Transmission of monetary policy |
Saved in:
freely available
Series: | Bank of Canada Staff Working Paper ; 2018-11 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.34989/swp-2018-11 [DOI] 1015928463 [GVK] hdl:10419/197864 [Handle] RePEc:bca:bocawp:18-11 [RePEc] |
Classification: | E44 - Financial Markets and the Macroeconomy ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; e53 ; F41 - Open Economy Macroeconomics |
Source: |
Persistent link: https://www.econbiz.de/10012014466