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.

Sprache
Englisch

Erschienen in
Series: Bank of Canada Staff Working Paper ; No. 2018-11

Klassifikation
Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy
Open Economy Macroeconomics
Thema
Economic models
Interest rates
Transmission of monetary policy

Ereignis
Geistige Schöpfung
(wer)
Hohberger, Stefan
Priftis, Romanos
Vogel, Lukas
Ereignis
Veröffentlichung
(wer)
Bank of Canada
(wo)
Ottawa
(wann)
2018

DOI
doi:10.34989/swp-2018-11
Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Hohberger, Stefan
  • Priftis, Romanos
  • Vogel, Lukas
  • Bank of Canada

Entstanden

  • 2018

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