Arbeitspapier
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.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Staff Working Paper ; No. 2018-11
- Classification
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Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy
Open Economy Macroeconomics
- Subject
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Economic models
Interest rates
Transmission of monetary policy
- Event
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Geistige Schöpfung
- (who)
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Hohberger, Stefan
Priftis, Romanos
Vogel, Lukas
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
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2018
- DOI
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doi:10.34989/swp-2018-11
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hohberger, Stefan
- Priftis, Romanos
- Vogel, Lukas
- Bank of Canada
Time of origin
- 2018
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