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Monetary policy evaluation. A counterfactual analysis based on dynamic factor models

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  • German Lopez Buenache

Abstract

This article complements the recent literature analysing the effects of the unconventional monetary stimuli applied after the Great Recession by proposing an intuitive and easy-to-implement method to evaluate different exit strategies towards a traditional monetary context. This approach, useful for central bankers or researchers interested in the effects of tapering, allows us to evaluate the consequences of a given monetary policy path on the future evolution of key macroeconomic indicators. The results based on this methodology provide a measurement of the differences in economic performance under contractionary and expansionary policies and support the recent success of monetary stimuli in boosting real indicators while having little effect on inflation.

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  • German Lopez Buenache, 2017. "Monetary policy evaluation. A counterfactual analysis based on dynamic factor models," Applied Economics Letters, Taylor & Francis Journals, vol. 24(7), pages 460-466, April.
    • Handle: RePEc:taf:apeclt:v:24:y:2017:i:7:p:460-466
    DOI: 10.1080/13504851.2016.1203053
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