Arbeitspapier
Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound
We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a ‘pure’ spread shock which, leaving the short-term rate unchanged by construction, allows us to characterise the macroeconomic impact of a compression in the yield spread induced by central banks’ asset purchases within an environment in which the short rate cannot move because it is constrained by the zero lower bound. Two main findings stand out. First, in all the countries we analyse (U.S., Euro area, Japan, and U.K.) a compression in the long-term yield spread exerts a powerful effect on both output growth and inflation. Second, conditional on available estimates of the impact of the FED’s and the Bank of England’s asset purchase programmes on long-term government bond yield spreads, our counterfactual simulations indicate that U.S. and U.K. unconventional monetary policy actions have averted significant risks both of deflation and of output collapses comparable to those that took place during the Great Depression.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1258
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Business Fluctuations; Cycles
- Thema
-
Bayesian VARs
Great Recession
Monte Carlo integration
policy counterfactuals
stochastic volatility
structural VARs
time-varying parameters
Öffentliche Anleihe
Zinsstruktur
Geldpolitik
Wirkungsanalyse
VAR-Modell
EU-Staaten
Großbritannien
Japan
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Baumeister, Christiane
Benati, Luca
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Baumeister, Christiane
- Benati, Luca
- European Central Bank (ECB)
Entstanden
- 2010
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