2012
DOI: 10.1111/j.1468-0297.2012.02549.x
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The Macroeconomic Effects of Large‐scale Asset Purchase Programmes

Abstract: We simulate the Federal Reserve second Large-Scale Asset Purchase programme in a DSGE model with bond market segmentation estimated on US data. GDP growth increases by less than a third of a percentage point and inflation barely changes relative to the absence of intervention. The key reasons behind our findings are small estimates for both the elasticity of the risk premium to the quantity of long-term debt and the degree of financial market segmentation. Without the commitment to keep the nominal interest ra… Show more

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Cited by 416 publications
(353 citation statements)
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“…Moreover, unlike Chen et al (2012) realistic and generally consistent with those obtained in the literature using different techniques. Overall, they suggest that large asset purchases of government assets had substantial stimulating effects both in terms of lower long-term yields and higher output and inflation.…”
Section: Introductionsupporting
confidence: 75%
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“…Moreover, unlike Chen et al (2012) realistic and generally consistent with those obtained in the literature using different techniques. Overall, they suggest that large asset purchases of government assets had substantial stimulating effects both in terms of lower long-term yields and higher output and inflation.…”
Section: Introductionsupporting
confidence: 75%
“…Differently from Chen et al (2012) and Harrison (2012a,b), who employ perpetuities as long-term bonds, the model presented in this paper features a secondary market for bond trading, as proposed by Ljungqvist and Sargent (2004), allowing a straightforward treatment of zero-coupon government bonds of different maturities. Moreover, unlike Chen et al (2012) realistic and generally consistent with those obtained in the literature using different techniques.…”
Section: Introductionmentioning
confidence: 99%
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“…This literature includes, among others, Krishnamurthy and Vissing-Jorgensen (2011), Cúrdia and Woodford (2011), Swanson (2011), Chen, Cúrdia and Ferrero (2012, and Bauer and Rudebusch (2014). For a survey, see Williams (2011).…”
Section: Introductionmentioning
confidence: 99%