Data-driven structural BVAR analysis of unconventional monetary policy

Päivi Puonti

Journal of Macroeconomics, 2019, vol. 61, issue C, -

Abstract: We apply a novel Bayesian structural vector autoregressive method to analyze the macroeconomic effects of unconventional monetary policy in Japan, the US and the euro area. The method exploits statistical properties of the data to uniquely identify the model without restrictions, and thus enables formal assessment of the plausibility of given sign restrictions. Unlike previous research, the data-based analysis reveals differences in the output and price effects of the Bank of Japan’s, Federal Reserve’s and European Central Bank’s balance sheet operations.

Keywords: Unconventional monetary policy; Bayesian structural vector autoregression; Identification (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:61:y:2019:i:c:1

DOI: 10.1016/j.jmacro.2019.103131

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