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Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies

Sarah Mouabbi () and Jean-Guillaume Sahuc ()

Journal of Money, Credit and Banking, 2019, vol. 51, issue 4, 831-858

Abstract: We quantify the macroeconomic effects of the European Central Bank's unconventional monetary policies using a dynamic stochastic general equilibrium model which includes a set of shadow interest rates. Extracted from the yield curve, these shadow rates provide unconstrained measures of the overall stance of monetary policy. Counterfactual analyses show that, without unconventional measures, the euro area would have suffered (i) a substantial loss of output since the Great Recession and (ii) a period of deflation from mid‐2015 to early 2017. Specifically, year‐on‐year inflation and GDP growth would have been on average about 0.61% and 1.09% below their actual levels over the period 2014Q1–17Q2, respectively.

Date: 2019
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https://doi.org/10.1111/jmcb.12628

Related works:
Working Paper: Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies (2019) Downloads
Working Paper: Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies (2019) Downloads
Working Paper: Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies (2019)
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