Macroeconomic effects of quantitative and qualitative monetary easing measures

Junko Koeda

    Research output: Contribution to journalArticlepeer-review

    1 Citation (Scopus)

    Abstract

    We estimate a structural vector autoregressive model with an effective lower bound of nominal interest rates (ELB) using Japanese macroeconomic and financial data from the mid-1990s 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.

    Original languageEnglish
    JournalJournal of The Japanese and International Economies
    DOIs
    Publication statusPublished - 2019 Jan 1

    Keywords

    • Effective lower bound of nominal interest rates
    • Forward guidance
    • Maximum likelihood
    • Quantitative and qualitative monetary easing policy
    • Structural vector autoregression

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics
    • Political Science and International Relations

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