Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions
dc.contributor.author | Stefański, Maciej | |
dc.date.accessioned | 2023-07-28T06:35:50Z | |
dc.date.available | 2023-07-28T06:35:50Z | |
dc.date.issued | 2021-10 | |
dc.identifier.citation | Stefański M., Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions, KAE Working Papers, 2021, nr 2021-068, s. 1-61 | en |
dc.identifier.uri | http://hdl.handle.net/20.500.12182/1125 | |
dc.description.abstract | The paper estimates macroeconomic effects and decomposes transmission channels of quantitative easing in the United States using 15-variable Bayesian vector autoregressive model with stochastic search variable selection prior, distinguishing between Treasury bond purchases, mortgage-backed securities purchases and Operation Twist. A positive quantitative easing shock has a strong, negative impact on unemployment and no impact on prices, with Treasury purchases and Operation Twist found to be more effective than purchases of mortgage-backed securities. Opposite to the assumptions usually made in the literature, quantitative easing transmits to the real economy mostly via the stock market instead of long-term rates. Among numerous extensions to the baseline model, spillbacks are found to account for 40% of the impact of Treasury purchases on unemployment and commercial paper purchases have similar effects on the economy as purchases of Treasury bonds and mortgage-backed securities. However, baseline estimates are not found to be very robust, and thus substantial uncertainty regarding the macroeconomic effects of QE persists. | en |
dc.language.iso | en | |
dc.rights | Dozwolony użytek | * |
dc.subject | unconventional monetary policy | en |
dc.subject | large-scale asset purchases | en |
dc.subject | QE | en |
dc.subject | GDP | en |
dc.subject | unemployment | en |
dc.subject | United States | en |
dc.subject | stochastic search variable selection | en |
dc.subject | transmission channels | en |
dc.subject | spillbacks | en |
dc.subject | commercial paper | en |
dc.subject.classification | E52 | en |
dc.subject.classification | E58 | en |
dc.title | Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions | pl |
dc.type | workingPaper | en |
dc.description.number | 2021-068 | en |
dc.description.physical | 1-61 | en |
dc.description.series | SGH KAE Working Papers Series | en |
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