The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis

Leonardo Gambacorta, Boris Hofmann and Gert Peersman ()

No 384, BIS Working Papers from Bank for International Settlements

Abstract: This paper assesses the macroeconomic effects of unconventional monetary policies by estimating a panel VAR with monthly data from eight advanced economies over a sample spanning the period since the onset of the global finanancial crisis. It finds that an exogenous increase in central bank balance sheets at the zero lower bound leads to a temporary rise in economic activity and consumer prices. The estimated output effects turn out to be qualitatively similar to the ones found in the literature on the effects of conventional monetary policy, while the impact on the price level is weaker and less persistent. Individual country results suggest that there are no major differences in the macroeconomic effects of unconventional monetary policies across countries, despite the heterogeneity of the measures that were taken.

Keywords: unconventional monetary policy; zero lower bound; panel VARs (search for similar items in EconPapers)
Pages: 32 pages
Date: 2012-08
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Citations: View citations in EconPapers (63)

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Related works:
Journal Article: The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis (2014)
Working Paper: The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:384

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