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

  • L. GAMBACORTA

    ()

  • B. HOFMANN

    ()

  • G. PEERSMAN

    ()

This paper assesses the macroeconomic effects 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 ?nancial 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 re- sponse 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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Paper provided by Ghent University, Faculty of Economics and Business Administration in its series Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium with number 11/765.

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Length: 32 pages
Date of creation: Dec 2011
Date of revision:
Handle: RePEc:rug:rugwps:11/765
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