Macroeconomic Effects of Quantitative and Qualitative Monetary Easing Measures

Junko Koeda

36 citations0/0 files storedJournal of the Japanese and International Economies

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Monetary Policy and Economic Impact Economic theories and models European Monetary and Fiscal Policies

Abstract

We estimate a structural vector autoregressive model with an effective lower bound (ELB) using Japanese macroeconomic and financial data from the mid-90s to the end of 2016. The estimated results show that the Bank of Japan’s quantitative and qualitative easing (QQE) policy increased output via “pure” quantitative easing when the first-year’s QQE level effect was controlled, complemented by qualitative easing. Our nonlinear counter-factual analyses show that raising the ELB or lowering an inflation threshold in forward guidance is not necessarily contractionary.

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?1998Monetary Policy Shocks: What Have We Learned and to What End?2003Zero Bound on Interest Rates and Optimal Monetary Policy 2006Were There Regime Switches in U.S. Monetary Policy?1999Chapter 2 Monetary policy shocks: What have we learned and to what end?2013High Frequency Identification of Monetary Non-Neutrality: The Information Effect 2003The Zero Bound on Interest Rates and Optimal Monetary Policy

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2021An Assessment of Abenomics: Evolution and Achievements 2021Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets 2023Unconventional monetary policy and debt sustainability in Japan

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