Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/197864
Authors: 
Hohberger, Stefan
Priftis, Romanos
Vogel, Lukas
Year of Publication: 
2018
Series/Report no.: 
Bank of Canada Staff Working Paper 2018-11
Abstract: 
This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank's (ECB's) quantitative easing (QE) programme. Using data on government debt stocks and yields across maturities, we identify the parameter governing portfolio adjustment in the private sector. Shock decompositions suggest a positive contribution of ECB QE to annual euro area output growth and inflation in 2015-16 of up to 0.3 and 0.6 percentage points (pp) in the linearised version of the model. Allowing for an occasionally binding zero-bound constraint by using piecewise linear solution techniques raises the positive impact to up to 0.7 and 0.8 pp.
Subjects: 
Economic models
Interest rates
Transmission of monetary policy
JEL: 
E44
E52
E53
F41
Document Type: 
Working Paper

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