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

Leonardo Gambacorta, Boris Hofmann and Gert Peersman ()

Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium from Ghent University, Faculty of Economics and Business Administration

Abstract: 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.

Keywords: unconventional monetary policy; zero lower bound; panel VARs (search for similar items in EconPapers)
JEL-codes: C32 E30 E44 E51 E52 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2011-12
New Economics Papers: this item is included in nep-eec and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

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http://wps-feb.ugent.be/Papers/wp_11_765.pdf (application/pdf)

Related works:
Journal Article: The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis (2014)
Working Paper: The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:rug:rugwps:11/765

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