Quantitative Easing and Macroeconomic Performance in the United States

Inda Mulaahmetović

9 citations0/0 files storedJournal of Central Banking Theory and Practice

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Monetary Policy and Economic Impact Market Dynamics and Volatility Economic theories and models

Abstract

Abstract This scientific paper examines the relationship between macroeconomic variables whose performance is measured under the implementation of Quantitative Easing in the US, by estimating vector autoregression (VAR) and Impulse Response Function with monthly data from US Federal Reserve, observed during the period January 1994-January 2022. Variables include: Consumer Price Index (CPIAUCSL); Industrial Production (INDPRO); Unemployment Rate (UNRATE); Interest Rates, Government Securities, Government Bonds (INTGSBUSM193N); Volatility Index (VIXCLS), Real Broad Effective Exchange Rate (RBUSBIS), Federal Surplus or Deficit (MTSDS133FMS), Money Supply M1 (WM1NS), M2 (WMNS), M3 (MABMM301USM189S). An evidence on macroeconomic variables of Consumer Price Index and Industrial Production when evaluating the effectiveness of QE is provided.

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1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 2014The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis 2011The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy 2005A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis 2012Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?2003The zero-interest-rate bound and the role of the exchange rate for monetary policy in Japan 2012Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan 2010Unconventional Monetary Policy and the Great Recession - Estimating the Impact of a Compression in the Yield Spread at the Zero Lower Bound

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