The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...

We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regimeswitching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is...

This paper examines the macroeconomic impact of the conducted Unconventional Monetary Policy (UMP) in the US and Euro Area within a Global VAR (GVAR) model constructed for 14 advanced economies. Moreover, the study addresses the extent to which UMP in the US and Euro Area can generate spillover...

The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...

This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the...

This study investigates asymmetric effects of monetary policy shocks on the macroeconomic variables: exchange rate, output and inflation for an emerging economy, Turkey, by using monthly data between 1990 and 2014. The innovative nonlinear vector autoregressive model of Kilian and Vigfusson...

Have the macroeconomic effects of QE programs been overestimated empirically? Using a large set of model specifications that differ in the degree of time-variation in parameters, the answer is yes. Our forecasting exercise suggests that it is crucial to allow for time-variation in parameters,...