The macroeconomic effects of quantitative easing in the Euro area: evidence from an estimated DSGE model

Stefan; PRIFTIS, Romanos; VOGEL, Lukas Hohberger,
Authors registered in the RePEc Author Service: Lukas Vogel, Romanos Priftis and Stefan Hohberger

No ECO2017/04, Economics Working Papers from European University Institute

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 linearized 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.

Keywords: Quantitative easing; Portfolio rebalancing; Bayesian estimation; Open-economy DSGE model; Real GDP (search for similar items in EconPapers)
JEL-codes: E44 E52 E53 F41 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-cba, nep-dge, nep-eec, nep-mac, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Related works:
Journal Article: The macroeconomic effects of quantitative easing in the euro area: Evidence from an estimated DSGE model (2019)
Working Paper: The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model (2018)
Working Paper: The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model (2017)
Working Paper: The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model (2017)
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