What are the macroeconomic effects of asset purchases?

• 成果类型: Article
• 署名作者: Weale, Martin; Wieladek, Tomasz
• 署名单位: University of London; Queen Mary University London; Bank of England; Barclays; Centre for Economic Policy Research - UK; Bank of England
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.03.010
• 发表日期: 2016
• 页码: 81-93
• 关键词: Quantitative easing; unconventional monetary policy; transmission mechanism; BVAR; Signaling and portfolio balance effects; Uncertainty and risk-taking channels

摘要

The impact of announcements of large-scale purchases of government bonds on real GDP and the CPI in the United Kingdom and the United States is explored with a Bayesian VAR, estimated on monthly data from 2009M3 to 2014M5. Four different identification schemes are used, all leaving the reactions of GDP and CPI unrestricted, and the transmission channels of the policy are examined. An asset purchase announcement of 1% of GDP leads to a statistically significant rise of 0.58% (0.25%) and 0.62% (0.32%) rise in real GDP and CPI for the US (UK). The transmission channels differ in the two countries. (C) 2016 The Authors. Published by Elsevier B.V.