Measuring Policy Effects since the Introduction of Quantitative and Qualitative Monetary Easing (QQE): An Analysis Using the Macroeconomic Model Q-JEM

Shunsuke Haba, Kimihiko Izawa, Yui Kishaba, Yusuke Takahashi and Shunichi Yoneyama
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Shunsuke Haba: Bank of Japan
Kimihiko Izawa: Bank of Japan
Yui Kishaba: Bank of Japan
Yusuke Takahashi: Bank of Japan
Shunichi Yoneyama: Bank of Japan

No 25-E-2, Bank of Japan Working Paper Series from Bank of Japan

Abstract: This paper estimates the policy effects of the Bank of Japan's expansionary monetary policy measures since the introduction of Quantitative and Qualitative Monetary Easing (QQE) in 2013 using the Bank of Japan's large-scale macroeconomic model, the Quarterly Japanese Economic Model (Q-JEM). Specifically, we generate "counterfactual paths" for key financial variables, including nominal interest rates, as well as inflation expectations, in a hypothetical scenario where these policy measures are absent. Then, we conduct counterfactual analysis using Q-JEM to simulate the developments of real GDP and the CPI under those counterfactual paths, and estimate the policy effects as the differences between the actual values and the simulation results. The analysis shows that, during the period from the introduction of QQE in 2013 to the April-June quarter of 2023, the policy measures have on average pushed up the level of real GDP by around +1.3 to +1.8 percent and the year-on-year rate of change in the CPI (less fresh food and energy) by around +0.5 to +0.7 percentage points.

Keywords: Monetary policy; Policy effect; Large macroeconomic model; Simulation (search for similar items in EconPapers)
JEL-codes: C53 E37 E43 E47 E52 E58 (search for similar items in EconPapers)
Date: 2025-02-19
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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