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Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies

Jean-Guillaume Sahuc () and Sarah Mouabbi

No 2019-2, EconomiX Working Papers from University of Paris Nanterre, EconomiX

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)
Date: 2019
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