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The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model

Stefan Hohberger (), Romanos Priftis () and Lukas Vogel ()

Staff Working Papers from Bank of Canada

Abstract: This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank’s (ECB’s) quantitative easing (QE) programme. 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 annual euro area output growth and inflation in 2015-16 of up to 0.3 and 0.6 percentage points (pp) in the linearised version of the model. Allowing for an occasionally binding zero-bound constraint by using piecewise linear solution techniques raises the positive impact to up to 0.7 and 0.8 pp.

Keywords: Economic models; Interest rates; Transmission of monetary policy (search for similar items in EconPapers)
JEL-codes: E44 E52 E53 F41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge, nep-eec, nep-mac and nep-mon
Date: 2018
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https://www.bankofcanada.ca/wp-content/uploads/2018/03/swp2018-11.pdf

Related works:
Working Paper: The macroeconomic effects of quantitative easing in the Euro area: evidence from an estimated DSGE model (2017) Downloads
Working Paper: The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model (2017) Downloads
Working Paper: The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model (2017) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:18-11

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