Quantitative easing with heterogeneous agents

• 成果类型: Article
• 署名作者: Cui, Wei; Sterk, Vincent
• 署名单位: University of London; University College London
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.07.007
• 发表日期: 2021
• 页码: 68-90
• 关键词: Monetary policy; Large-scale asset purchases; Household liquidity

摘要

We study the effects of Quantitative Easing (QE) in a heterogeneous-agents model with liquid and partially liquid wealth, and nominal rigidities. The direct macroeconomic effect of QE is determined by the difference in marginal propensities to consume out of the two types of wealth, which is large according to empirical studies. Therefore, the effects of QE on aggregate output and inflation are significant, according to the model. Indeed, the estimated model reveals that QE interventions greatly dampened the U.S. Great Recession, by expanding household liquidity. However, QE may have strong and adverse distributional effects, com pared to interest rate policy. (c) 2021 Elsevier B.V. All rights reserved.