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Macroeconomic Effects of Quantitative and Qualitative Monetary Easing Measures

Junko Koeda

No 18-E-16, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: We estimate a structural vector autoregressive model with an effective lower bound of nominal interest rates (ELB) using Japanese macroeconomic and financial data from the mid-1990s to the end of 2016. The estimated results show that the Bank of Japan fs quantitative and qualitative easing (QQE) policy increased output via gpure h quantitative easing when the first-year fs QQE level effect was controlled, complemented by qualitative easing. Our nonlinear counter- factual analyses show that raising the ELB or lowering an inflation threshold in forward guidance is not necessarily contractionary.

Keywords: effective lower bound of nominal interest rates; quantitative and qualitative monetary easing policy; forward guidance; structural vector autoregression; maximum likelihood (search for similar items in EconPapers)
JEL-codes: E58 E52 C32 (search for similar items in EconPapers)
Date: 2018-11
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Journal Article: Macroeconomic effects of quantitative and qualitative monetary easing measures (2019) Downloads
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