EconPapers    
Economics at your fingertips  
 

The Effects of Asset Purchases and Normalization of US Monetary Policy

Naoko Hara, Ryuzo Miyao and Tatsuyoshi Okimoto
Additional contact information
Naoko Hara: Deputy Director and Economist, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: naoko.hara@boj.or.jp)
Ryuzo Miyao: Professor, Faculty of Economics, University of Tokyo (E-mail: miyao@e.u-tokyo.ac.jp)
Tatsuyoshi Okimoto: Associate Professor, Crawford School of Public Policy, Australian National University, and Visiting Fellow, Research Institute of Economy, Trade and Industry (RIETI) (E-mail: tatsuyoshi. okimoto@anu.edu.au)

No 19-E-16, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: This paper examines changes in the effects of unconventional monetary policies in the US. To this end, we estimate a Markov-switching VAR model with absorbing regimes to capture possible structural changes. Our results detect regime changes around the beginning of 2011 and the middle of 2013. Before 2011, the US large-scale asset purchases (LSAPs) had relatively large impacts on the real economy and prices, but after the middle of 2013, their effects were weaker and less-persistent. In addition, after the middle of 2013, which includes the monetary policy normalization period, the asset purchase (or balance sheet) shocks had slightly weaker effects than during the early stage of the LSAPs but stronger effects than during the late stage of the LSAPs, while interest rate shocks had insignificant effects on the real economy and prices. Finally, our results suggest that the positive responses of durables and capital goods expenditures to interest rate shocks weakened the negative impacts of interest rate hikes after the middle of 2013 including the period of monetary policy normalization.

Keywords: Quantitative easing; Unconventional monetary policy; LSAP; MSVAR (search for similar items in EconPapers)
JEL-codes: C32 E21 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2019-08
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.imes.boj.or.jp/research/papers/english/19-E-16.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ime:imedps:19-e-16

Access Statistics for this paper

More papers in IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Kinken ().

 
Page updated 2019-10-09
Handle: RePEc:ime:imedps:19-e-16