Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/219386 
Year of Publication: 
2020
Series/Report no.: 
IMFS Working Paper Series No. 142
Publisher: 
Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), Frankfurt a. M.
Abstract: 
Did the Federal Reserves' Quantitative Easing (QE) in the aftermath of the financial crisis have macroeconomic effects? To answer this question, the authors estimate a large-scale DSGE model over the sample from 1998 to 2020, including data of the Fed's balance sheet. The authors allow for QE to affect the economy via multiple channels that arise from several financial frictions. Their nonlinear Bayesian likelihood approach fully accounts for the zero lower bound on nominal interest rates. They find that between 2009 to 2015, QE increased output by about 1.2 percent. This reflects a net increase in investment of nearly 9 percent, that was accompanied by a 0.7 percent drop in aggregate consumption. Both, government bond and capital asset purchases were effective in improving financing conditions. Especially capital asset purchases significantly facilitated new investment and increased the production capacity. Against the backdrop of a fall in consumption, supply side effects dominated which led to a mild disinflationary effect of about 0.25 percent annually.
Subjects: 
Quantitative Easing
Liquidity Facilities
Zero Lower Bound
Nonlinear Bayesian Estimation
JEL: 
E63
C63
E58
E32
C62
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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