THE MACROECONOMIC EFFECTS OF LARGE-SCALE ASSET PURCHASE PROGRAMMES

• 成果类型: Article
• 署名作者: Chen, Han; Curdia, Vasco; Ferrero, Andrea
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; University of Pennsylvania
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2012.02549.x
• 发表日期: 2012
• 页码: F289-F315
• 关键词: interest-rates; monetary

摘要

We simulate the Federal Reserve second Large-Scale Asset Purchase programme in a DSGE model with bond market segmentation estimated on US data. GDP growth increases by less than a third of a percentage point and inflation barely changes relative to the absence of intervention. The key reasons behind our findings are small estimates for both the elasticity of the risk premium to the quantity of long-term debt and the degree of financial market segmentation. Without the commitment to keep the nominal interest rate at its lower bound for an extended period, the effects of asset purchase programmes would be even smaller.