Exiting from quantitative easing

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

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

Classification and Topics

• Classification: 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
• Subject: Effective lower bound ; structural vector autoregression ; monetary policy ; Taylor rule ; impulse responses ; Bank of Japan

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hayashi, Fumio ; Koeda, Junko
• Event: Veröffentlichung
• (who): The Econometric Society
• (where): New Haven, CT
• (when): 2019

Further information

• DOI: doi:10.3982/QE1058
• Handle: http://hdl.handle.net/10419/217163
• Last update: 10.03.2025, 11:43 AM CET