Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies

Sarah Mouabbi and Jean-Guillaume Sahuc

Working papers from Banque de France

Abstract: We quantify the macroeconomic effects of the European Central Bank’s unconventional monetary policies using a DSGE 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 2014Q1-2017Q2, respectively.

Keywords: Unconventional monetary policy; shadow policy rate; DSGE model; euro area (search for similar items in EconPapers)
JEL-codes: E32 E44 E52 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2019
New Economics Papers: this item is included in nep-cba, nep-dge, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Related works:
Journal Article: Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies (2019)
Working Paper: Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies (2019)
Working Paper: Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies (2019)
Working Paper: Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:708

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