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The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis

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  • Leonardo Gambacorta
  • Boris Hofmann
  • Gert Peersman

Abstract

This paper assesses the macroeconomic effects of unconventional monetary policies by estimating a panel VAR with monthly data from eight advanced economies over a sample spanning the period since the onset of the global finanancial crisis. It finds that an exogenous increase in central bank balance sheets at the zero lower bound leads to a temporary rise in economic activity and consumer prices. The estimated output effects turn out to be qualitatively similar to the ones found in the literature on the effects of conventional monetary policy, while the impact on the price level is weaker and less persistent. Individual country results suggest that there are no major differences in the macroeconomic effects of unconventional monetary policies across countries, despite the heterogeneity of the measures that were taken.

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Bibliographic Info

Paper provided by Bank for International Settlements in its series BIS Working Papers with number 384.

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Length: 32 pages
Date of creation: Aug 2012
Date of revision:
Handle: RePEc:bis:biswps:384

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Keywords: unconventional monetary policy; zero lower bound; panel VARs;

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