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An Empirical Sectoral Model of Unconventional Monetary Policy: The Impact of QE

Listed author(s):
  • James Cloyne
  • Ryland Thomas
  • Alex Tuckett
  • Samuel Wills

type="main"> This paper describes a sectoral empirical model of money and credit in the UK that can be used for analysing unconventional monetary policies that affect banks’ balance sheets. The paper uses the model to assess the impact of QE on the UK economy focussing on the endogenous portfolio response of banks, financial companies and non-financial companies. The baseline results support the quantitative estimates found by other studies, but suggest the impact of QE is sensitive to the assumption about whether and to what extent QE affects bank lending.

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File URL: http://hdl.handle.net/10.1111/manc.12098
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Article provided by University of Manchester in its journal The Manchester School.

Volume (Year): 83 (2015)
Issue (Month): (09)
Pages: 51-82

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Handle: RePEc:bla:manchs:v:83:y:2015:i::p:51-82
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  1. Butt, Nick & Churm, Rohan & McMahon, Michael & Morotz, Arpad & Schanz, Jochen, 2014. "QE and the bank lending channel in the United Kingdom," Bank of England working papers 511, Bank of England.
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  6. Button, Richard & Pezzini, Silvia & Rossiter, Neil, 2010. "Understanding the price of new lending to households," Bank of England Quarterly Bulletin, Bank of England, vol. 50(3), pages 172-182.
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  9. Chrystal, K Alec & Mizen, Paul, 2005. "A Dynamic Model of Money, Credit, and Consumption: A Joint Model for the UK Household Sector," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(1), pages 119-143, February.
  10. Garratt, Anthony & Lee, Kevin & Pesaran, M. Hashem & Shin, Yongcheol, 2012. "Global and National Macroeconometric Modelling: A Long-Run Structural Approach," OUP Catalogue, Oxford University Press, number 9780199650460.
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  18. Wallace, Neil, 1981. "A Modigliani-Miller Theorem for Open-Market Operations," American Economic Review, American Economic Association, vol. 71(3), pages 267-274, June.
  19. Ryland Thomas, 1997. "The Demand for M4: A Sectoral Analysis. Part 1 - The Personal Sector," Bank of England working papers 61, Bank of England.
  20. Bridges, Jonathan & Thomas, Ryland, 2012. "The impact of QE on the UK economy – some supportive monetarist arithmetic," Bank of England working papers 442, Bank of England.
  21. Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 17-34, January.
  22. Bridges, Jonathan & Rossiter, Neil & Thomas, Ryland, 2011. "Understanding the recent weakness in broad money growth," Bank of England Quarterly Bulletin, Bank of England, vol. 51(1), pages 22-35.
  23. Gauti B. Eggertsson & Michael Woodford, 2003. "The Zero Bound on Interest Rates and Optimal Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 139-235.
  24. Javier Andrés & J. David López Salido & Edward Nelson, 2004. "Tobin's imperfect substitution in optimizing general equilibrium," Working Papers 0409, Banco de España;Working Papers Homepage.
  25. Ryland Thomas, 1997. "The Demand for M4: A Sectoral Analysis Part 2 The Corporate Sector," Bank of England working papers 62, Bank of England.
  26. Fuerst, Timothy S., 1992. "Liquidity, loanable funds, and real activity," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 3-24, February.
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