Quantitative Easing and Unconventional Monetary Policy – an Introduction

Joyce, Michael; Miles, David; Scott, Andrew; Vayanos, Dimitri

doi:10.1111/j.1468-0297.2012.02551.x

Cited by 328 publications

(197 citation statements)

References 49 publications

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“…Against this background, there is a growing literature measuring the quantitative impact of such unconventional policies on the economy (see, e.g., Joyce et al 2012, for a comprehensive survey). In this context, the present paper proposes a new estimation framework for identifying monetary policy shocks in both conventional and unconventional policy regimes.…”

Section: Introductionmentioning

confidence: 99%

Identifying conventional and unconventional monetary policy shocks: a latent threshold approach

Kimura

Nakajima

2016

The B.E. Journal of Macroeconomics

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This paper proposes a new estimation framework for identifying monetary policy shocks in both conventional and unconventional policy regimes using a structural VAR model. Exploiting a latent threshold modeling strategy that induces time-varying shrinkage of the parameters, we explore a recursive identification switching with a time-varying overidentification for the interest rate zero lower bound. We empirically analyze Japan's monetary policy to illustrate the proposed approach for modeling regime-switching between conventional and unconventional monetary policy periods, and find that the proposed model is preferred over a nested standard time-varying parameter VAR model. The estimation results show that increasing bank reserves lowers long-term interest rates in the unconventional policy periods, and that the impulse responses of inflation and the output gap to a bank reserve shock appear to be positive but highly uncertain. JEL classification: C32; E52

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Section: Introductionmentioning

confidence: 99%

Identifying conventional and unconventional monetary policy shocks: a latent threshold approach

Kimura

Nakajima

2016

The B.E. Journal of Macroeconomics

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“…The effect on consumer prices, however, is weaker and less persistent. Numerous studies on the macroeconomic effects of QE for other central banks document similar findings and are summarised, inter alia, in the overview articles by Joyce et al (2012) and Martin and Milas (2012). 2 All these papers rely on a vector autoregressive (VAR) framework to quantify the impact of unconventional monetary policy, an approach that goes back to Sims's (1980) seminal paper.…”

Section: Introductionmentioning

confidence: 91%

An Unconventional Approach to Evaluate the Bank of England's Asset Purchase Program

Neuenkirch

2016

SSRN Journal

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“…Liquidity support to financial institution is not a new function for Central Banks. Since their establishments, Central Banks act as a lender of last resort, either providing direct assistance to individual financial institutions or acting as a leader in the rescue operations [5]. Liquidity support by Central Banks may be vital in the acute phase of the crisis in order to support illiquid institutions and calm the markets.…”

Section: A Theoretical Backgroundmentioning

confidence: 99%