Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264800 
Year of Publication: 
2016
Series/Report no.: 
Working Paper No. 208
Publisher: 
Oesterreichische Nationalbank (OeNB), Vienna
Abstract: 
In this paper we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease in the term spread, which mirrors quantitative easing. Employing a time-varying vector autoregression with stochastic volatility, our results are two-fold: First, the spread shock works mainly through a boost to consumer wealth growth, while a conventional monetary policy shock affects real output growth via a broad credit / bank lending channel. Second, both shocks exhibit a distinct pattern over our sample period. More specifcally, we find small output effects of a conventional monetary policy shock during the period of the global fnancial crisis and stronger effects in its aftermath. This might imply that when the central bank has left the policy rate unaltered for an extended period of time, a policy surprise might boost output particularly strongly. By contrast, the spread shock has affected output growth most strongly during the period of the global financial crisis and less so thereafter. This might point to diminishing effects of large scale asset purchase programs.
Subjects: 
Unconventional monetary policy
transmission channel
Bayesian TVP-SV-VAR
JEL: 
C32
E52
E32
Document Type: 
Working Paper

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