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Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound

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  • Gert Peersman

    (Ghent University)

Abstract

This paper assesses the macroeconomic e¤ects of unconventional monetary policy by estimating a panel VAR with monthly data from eight advanced economies over a sample spanning the period since the onset of the global …financial crisis. The results suggest 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 response pattern of output is thus very similar to that usually found for interest rate shocks, while the reaction of the price level is less persistent. Looking at individual country results reveals that the e¤ects of balance sheet shocks are very similar across countries.

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File URL: http://www.economicdynamics.org/meetpapers/2012/paper_400.pdf
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Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2012 Meeting Papers with number 400.

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Date of creation: 2012
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Handle: RePEc:red:sed012:400

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Citations

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Cited by:
  1. Stefan Behrendt, 2013. "Monetary Transmission via the Central Bank Balance Sheet," Global Financial Markets Working Paper Series 49-2013, Friedrich-Schiller-University Jena.
  2. SZCZERBOWICZ, Urszula, 2014. "The ECB's Unconventional Monetary Policies: Have they lowered market borrowing costs for banks and governments?," Discussion papers 14008, Research Institute of Economy, Trade and Industry (RIETI).
  3. Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2013. "The response of tail risk perceptions to unconventional monetary policy," BIS Working Papers 425, Bank for International Settlements.
  4. Sofía Bauducco & Rodrigo Caputo, 2013. "Wicksell Versus Taylor: A Quest for Determinancy and the (IR) Relevance of the Taylor Principle," Working Papers Central Bank of Chile 705, Central Bank of Chile.
  5. Tatiana Damjanovic & Sarunas Girdenas, 2013. "Should Central Bank respond to the Changes in the Loan to Collateral Value Ratio and in the House Prices?," Discussion Papers 1303, Exeter University, Department of Economics.
  6. Neely, Christopher J., 2014. "How Persistent are Monetary Policy Effects at the Zero Lower Bound?," Working Papers 2014-4, Federal Reserve Bank of St. Louis.
  7. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2014. "Does Monetary Policy Affect Bank Risk?," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 95-136, March.
  8. Mark Gertler & Peter Karadi, 2013. "QE 1 vs. 2 vs. 3. . . : A Framework for Analyzing Large-Scale Asset Purchases as a Monetary Policy Tool," International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 5-53, January.
  9. Christiaan Pattipeilohy & Jan Willem van den End & Mostafa Tabbae & Jon Frost & Jakob de Haan, 2013. "Unconventional monetary policy of the ECB during the financial crisis: An assessment and new evidence," DNB Working Papers 381, Netherlands Central Bank, Research Department.
  10. Joyce, Michael, 2012. "Quantitative easing and other unconventional monetary policies: Bank of England conference summary," Bank of England Quarterly Bulletin, Bank of England, vol. 52(1), pages 48-56.
  11. Boris Hofmann & Feng Zhu, 2013. "Central bank asset purchases and inflation expectations," BIS Quarterly Review, Bank for International Settlements, March.

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