TY  - UNPD
A1  - Böhl, Gregor
A1  - Goy, Gavin
A1  - Strobel, Felix
T1  - A structural investigation of quantitative easing
T2  - Working paper series / Institute for Monetary and Financial Stability ; 142
N2  - Did the Federal Reserves’ Quantitative Easing (QE) in the aftermath of the financial crisis have macroeconomic effects? To answer this question, the authors estimate a large-scale DSGE model over the sample from 1998 to 2020, including data of the Fed’s balance sheet. The authors allow for QE to affect the economy via multiple channels that arise from several financial frictions. Their nonlinear Bayesian likelihood approach fully accounts for the zero lower bound on nominal interest rates. They find that between 2009 to 2015, QE increased output by about 1.2 percent. This reflects a net increase in investment of nearly 9 percent, that was accompanied by a 0.7 percent drop in aggregate consumption. Both, government bond and capital asset purchases were effective in improving financing conditions. Especially capital asset purchases significantly facilitated new investment and increased the production capacity. Against the backdrop of a fall in consumption, supply side effects dominated which led to a mild disinflationary effect of about 0.25 percent annually.
T3  - Working paper series / Institute for Monetary and Financial Stability - 142 
KW  - Quantitative Easing
KW  - Liquidity Facilities
KW  - Zero Lower Bound
KW  - Nonlinear Bayesian Estimation
Y1  - 2020
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/54273
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-542738
UR  - https://www.imfs-frankfurt.de/fileadmin/user_upload/IMFS_WP/IMFS_WP_142.pdf
IS  - June 16, 2020
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -