What are the macroeconomic effects of asset purchases?

Martin Weale () and Tomasz Wieladek

No 10495, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We examine the impact of large scale asset purchase announcements of government bonds on real GDP and the CPI in the United Kingdom and the United States with a Bayesian VAR, estimated on monthly data from 2009M3 to 2014M5. We identify an asset purchase announcement shock with four different identification schemes, always leaving the reactions of real GDP and CPI unrestricted, to test whether these variables react to asset purchases. We then explore the transmission channels of this policy. The results suggest that an asset purchase announcement of 1% of GDP leads to a statistically significant rise of .58% (.25%) and .62% (.32%) rise in real GDP and CPI for the US (UK). In the US, this policy is transmitted through the portfolio balance channel and a reduction in household uncertainty. In the UK, the policy seems to be mainly transmitted through the impact on investors? risk appetite and household uncertainty.

Keywords: Unconventional monetary policy; Bayesian var (search for similar items in EconPapers)
JEL-codes: E50 E51 E52 (search for similar items in EconPapers)
Date: 2015-03
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (12)

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Related works:
Journal Article: What are the macroeconomic effects of asset purchases? (2016)
Working Paper: What are the macroeconomic effects of asset purchases? (2015)
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