Type: Working Paper
The macroeconomic effects of quantitative easing in the Euro area : evidence from an estimated DSGE model
Working Paper, EUI ECO, 2017/04
HOHBERGER, Stefan, PRIFTIS, Romanos, VOGEL, Lukas, The macroeconomic effects of quantitative easing in the Euro area : evidence from an estimated DSGE model, EUI ECO, 2017/04 - http://hdl.handle.net/1814/45726
Retrieved from Cadmus, EUI Research Repository
This paper analyses the macroeconomic effects of the ECB's quantitative easing programme using an open-economy DSGE model estimated with Bayesian techniques. 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 EA year-on-year output growth and inflation of up to 0.4 and 0.5 pp in the standard linearized version of the model. Allowing for an occasionally binding zero-bound constraint by using piecewise linear solution techniques raises the positive impact up to 1.0 and 0.7 pp, respectively.
Cadmus permanent link: http://hdl.handle.net/1814/45726
Series/Number: EUI ECO; 2017/04