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The effectiveness of central Bank purchases of long-term treasury securities: a neural network approach

  • Central bank intervention in the form of quantitative easing (QE) during times of low interest rates is a controversial topic. The author introduces a novel approach to study the effectiveness of such unconventional measures. Using U.S. data on six key financial and macroeconomic variables between 1990 and 2015, the economy is estimated by artificial neural networks. Historical counterfactual analyses show that real effects are less pronounced than yield effects. Disentangling the effects of the individual asset purchase programs, impulse response functions provide evidence for QE being less effective the more the crisis is overcome. The peak effects of all QE interventions during the Financial Crisis only amounts to 1.3 pp for GDP growth and 0.6 pp for inflation respectively. Hence, the time as well as the volume of the interventions should be deliberated.

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Metadaten
Verfasserangaben:Alina TänzerGND
URN:urn:nbn:de:hebis:30:3-801620
URL:https://www.imfs-frankfurt.de/forschung/imfs-working-papers/details.html?tx_mmpublications_publicationsdetail%5Bcontroller%5D=Publication&tx_mmpublications_publicationsdetail%5Bpublication%5D=480&cHash=cfa3675efa199c123471a495b751dc4d
Schriftenreihe (Bandnummer):Working paper series / Institute for Monetary and Financial Stability (204)
Verlag:Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
Verlagsort:Frankfurt am Main
Dokumentart:Arbeitspapier
Sprache:Englisch
Jahr der Fertigstellung:2024
Jahr der Erstveröffentlichung:2024
Veröffentlichende Institution:Universitätsbibliothek Johann Christian Senckenberg
Datum der Freischaltung:07.06.2024
Freies Schlagwort / Tag:Monetary Policy
Artificial Intelligence; Central Banks and Their Policies; Financial Markets and the Macroeconomy; Forecasting and Simulation; Machine Learning; Models and Applications; Neural Networks
Auflage:May 26, 2024
Seitenzahl:24
Institute:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS)
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
DDC-Klassifikation:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Klassifikation:C Mathematical and Quantitative Methods / C4 Econometric and Statistical Methods: Special Topics / C45 Neural Networks and Related Topics
E Macroeconomics and Monetary Economics / E4 Money and Interest Rates / E44 Financial Markets and the Macroeconomy
E Macroeconomics and Monetary Economics / E4 Money and Interest Rates / E47 Forecasting and Simulation
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E52 Monetary Policy
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E58 Central Banks and Their Policies
Sammlungen:Universitätspublikationen
Lizenz (Deutsch):License LogoDeutsches Urheberrecht