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The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model

Author

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  • Hohberger, Stefan
  • Priftis, Romanos
  • Vogel, Lukas

Abstract

This paper analyses the macroeconomic effects of the ECB's quantitative easing programme using an open-economy DSGE model estimated with Bayesian techniques. 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 EA year-on-year output growth and inflation of up to 0.4 and 0.5 pp in the standard linearised version of the model. Allowing for an occasionally binding zero-bound constraint by using piecewise linear solution techniques raises the positive impact up to 1.0 and 0.7 pp, respectively.

Suggested Citation

  • Hohberger, Stefan & Priftis, Romanos & Vogel, Lukas, 2017. "The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model," MPRA Paper 78955, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:78955
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    References listed on IDEAS

    as
    1. Kollmann, Robert & Pataracchia, Beatrice & Raciborski, Rafal & Ratto, Marco & Roeger, Werner & Vogel, Lukas, 2016. "The post-crisis slump in the Euro Area and the US: Evidence from an estimated three-region DSGE model," European Economic Review, Elsevier, vol. 88(C), pages 21-41.
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    Cited by:

    1. Gerke, Rafael & Giesen, Sebastian & Kienzler, Daniel, 2018. "Uncertainty about QE effects when an interest rate peg is anticipated," Discussion Papers 12/2018, Deutsche Bundesbank.
    2. Harrison, Richard, 2017. "Optimal quantitative easing," Bank of England working papers 678, Bank of England.
    3. repec:zbw:svrwjg:201718 is not listed on IDEAS

    More about this item

    Keywords

    E44; E52; E53; F41;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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