TY - JOUR
T1 - Macroeconomic effects of quantitative and qualitative monetary easing measures
AU - Koeda, Junko
N1 - Funding Information:
I am grateful for the research opportunities at the Institute for Monetary and Economic Studies at the Bank of Japan. I am grateful to the reviewers for most valuable comments. I thank Shinichi Fukuda, Yutaka Harada, Fumio Hayashi, Ryuzo Miyao, Taisuke Nakata, Mototsugu Shintani, Etsuro Shioji, Shigenori Shiratsuka, Tomohiro Tsuruga, Kazuo Ueda, Kozo Ueda, and Yoichi Ueno for their helpful comments. The paper benefited from presentation at the Bank of Japan, Hitotsubashi University, Institute of Statistical Research, JSME, RCAST Macroeconomic Analysis Workshop, and Waseda University (Center for Positive Political Economy).
Publisher Copyright:
© 2019 The Author
PY - 2019/6
Y1 - 2019/6
N2 - 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.
AB - 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.
KW - Effective lower bound of nominal interest rates
KW - Forward guidance
KW - Maximum likelihood
KW - Quantitative and qualitative monetary easing policy
KW - Structural vector autoregression
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U2 - 10.1016/j.jjie.2018.12.006
DO - 10.1016/j.jjie.2018.12.006
M3 - Article
AN - SCOPUS:85062807965
SN - 0889-1583
VL - 52
SP - 121
EP - 141
JO - Journal of the Japanese and International Economies
JF - Journal of the Japanese and International Economies
ER -