Artikel

Exiting from quantitative easing

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 endogenous and observable. QE is modeled as one of the regimes. The model incorporates an exit condition for terminating QE. We find that higher reserves at the effective lower bound raise inflation and output, and that terminating QE may be contractionary or expansionary, depending on the state of the economy at the point of exit.

Sprache
Englisch

Erschienen in
Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 10 ; Year: 2019 ; Issue: 3 ; Pages: 1069-1107 ; New Haven, CT: The Econometric Society

Klassifikation
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Quantitative Policy Modeling
Monetary Policy
Central Banks and Their Policies
Thema
Effective lower bound
structural vector autoregression
monetary policy
Taylor rule
impulse responses
Bank of Japan

Ereignis
Geistige Schöpfung
(wer)
Hayashi, Fumio
Koeda, Junko
Ereignis
Veröffentlichung
(wer)
The Econometric Society
(wo)
New Haven, CT
(wann)
2019

DOI
doi:10.3982/QE1058
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

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Objekttyp

  • Artikel

Beteiligte

  • Hayashi, Fumio
  • Koeda, Junko
  • The Econometric Society

Entstanden

  • 2019

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