Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/174905
Authors: 
Hesse, Henning
Hofmann, Boris
Weber, James
Year of Publication: 
2018
Series/Report no.: 
SAFE Working Paper No. 198
Abstract: 
This paper revisits the macroeconomic effects of the large-scale asset purchase programmes launched by the Federal Reserve and the Bank of England from 2008. Using a Bayesian VAR, we investigate the macroeconomic impact of shocks to asset purchase announcements and assess changes in their effectiveness based on subsample analysis. The results suggest that the early asset purchase programmes had significant positive macroeconomic effects, while those of the subsequent ones were weaker and in part not significantly different from zero. The reduced effectiveness seems to reflect in part better anticipation of asset purchase programmes over time, since we find significant positive macroeconomic effects when we consider shocks to survey expectations of the Federal Reserve's last asset purchase programme. Finally, in all estimations we find a significant and persistent positive impact of asset purchase shocks on stock prices.
Subjects: 
unconventional monetary policy
asset purchases
monetary transmission
JEL: 
E50
E51
E52
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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