ASSESSING THE ECONOMY-WIDE EFFECTS OF QUANTITATIVE EASING

• 成果类型: Article
• 署名作者: Kapetanios, George; Mumtaz, Haroon; Stevens, Ibrahim; Theodoridis, Konstantinos
• 署名单位: University of London; Queen Mary University London
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2012.02555.x
• 发表日期: 2012
• 页码: F316-F347
• 关键词: monetary-policy; vector autoregressions; interest-rates

摘要

This article examines the macroeconomic impact of the first round of quantitative easing (QE) by the Bank of England. We attempt to quantify the effects of these purchases by focusing on the impact of lower long-term interest rates on the wider economy. We use three different models to estimate the impact of QE on output and inflation: a large Bayesian vector autoregression (VAR), a change-point structural VAR and a time-varying parameter VAR. Our estimates suggest that QE may have had a peak effect on the level of real GDP of around 1 1/2% and a peak effect on annual CPI inflation of about 1 1/4% points.