Supplementary Paper Series for the "Assessment" (2): Estimating Effects of Expansionary Monetary Policy since the Introduction of Quantitative and Qualitative Monetary Easing (QQE) Using the Macroeconomic Model (Q-JEM)

Takuji Kawamoto, Takashi Nakazawa, Yui Kishaba, Kohei Matsumura and Jouchi Nakajima
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Takuji Kawamoto: Bank of Japan
Takashi Nakazawa: Bank of Japan
Yui Kishaba: Bank of Japan
Kohei Matsumura: Bank of Japan

No 21-E-4, Bank of Japan Working Paper Series from Bank of Japan

Abstract: This paper estimates the macroeconomic effects of the Bank of Japan's expansionary monetary policies since the introduction of Quantitative and Qualitative Monetary Easing (QQE) using the Bank of Japan's large-scale macroeconomic model, Q-JEM (Quarterly Japanese Economic Model). We consider counterfactual paths of major financial variables, such as real interest rates, constructing hypothetical scenarios where the QQE and subsequent easing measures had not been introduced. We then conduct counterfactual simulations to examine how Japan's macroeconomic variables such as real GDP and CPI would have evolved under those hypothetical scenarios. In this setting, we estimate the policy effects on the macroeconomic variables as the difference between actual values and the counterfactual. Estimation results show that, on average during the period from the introduction of QQE to the July-September quarter of 2020, the policy effect on the level of real GDP is between around +0.9 and +1.3 percent and that on the year-on-year rate of change in the CPI (all items less fresh food and energy) is between around +0.6 and +0.7 percentage points.

Keywords: Monetary Policy; Policy effect; Large-scale macroeconomic model; Simulation (search for similar items in EconPapers)
JEL-codes: C53 E37 E47 E52 E58 (search for similar items in EconPapers)
Date: 2021-04-30
New Economics Papers: this item is included in nep-cba and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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