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

Jean-Guillaume Sahuc () and Sarah Mouabbi ()

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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.

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Date: 2019
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-02055111
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Published in Journal of Money, Credit and Banking, Wiley, 2019, 51, pp.831-858

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Journal Article: Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies (2019) Downloads
Working Paper: Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies (2019) Downloads
Working Paper: Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies (2019) Downloads
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