The macroeconomic effects of quantitative easing in the euro area: Evidence from an estimated DSGE model
This paper estimates an open-economy dynamic stochastic general equilibrium (DSGE) model with Bayesian techniques to provide a structural empirical evaluation of the macroeconomic effects of the European Central Bank’s (ECB’s) quantitative easing (QE) programme. Allowing for cross-border holding of government debt and using data on gov- ernment debt stocks and yields across maturities, we identify the parameters governing portfolio rebalancing in the private sector. We rely on a methodological extension that measures the non-linear contribution of QE in shock decompositions under an occasion- ally binding constraint (zero lower bound). Our results suggest an average contribution of ECB QE to annual Euro Area GDP growth and CPI inflation in 2015–18 of 0.3 and 0.5 percentage points, respectively, with a maximum impact in 2016.
HOHBERGER Stefan;
PRIFTIS Romanos;
VOGEL Lukas;
2019-10-22
ELSEVIER SCIENCE BV
JRC106252
0165-1889 (online),
https://www.sciencedirect.com/science/article/pii/S0165188919301538?via%3Dihub,
https://publications.jrc.ec.europa.eu/repository/handle/JRC106252,
10.1016/j.jedc.2019.103756 (online),
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