The macroeconomic effects of quantitative easing in the euro area: Evidence from an estimated DSGE model

Stefan Hohberger, Romanos Priftis and Lukas Vogel

Journal of Economic Dynamics and Control, 2019, vol. 108, issue C

Abstract: This paper estimates an open-economy dynamic stochastic general equilibrium (DSGE) model with Bayesian techniques to provide a structural empirical evaluation of the macroeconomic effects of the European Central Bank's (ECB's) quantitative easing (QE) programme. Allowing for cross-border holding of government debt and using data on government debt stocks and yields across maturities, we identify the parameters governing portfolio rebalancing in the private sector. We rely on a methodological extension that measures the non-linear contribution of QE in shock decompositions under an occasionally binding constraint (zero lower bound). Our results suggest an average contribution of ECB QE to annual Euro Area GDP growth and CPI inflation in 2015–18 of 0.3 and 0.5 percentage points, respectively, with a maximum impact in 2016.

Keywords: Bayesian estimation; Open-economy DSGE model; Portfolio rebalancing; Quantitative easing; Zero lower bound (search for similar items in EconPapers)
JEL-codes: E44 E52 E53 F41 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (50)

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Related works:
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)
Working Paper: The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301538

DOI: 10.1016/j.jedc.2019.103756

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