TY  - UNPD
A1  - Hesse, Henning
A1  - Hofmann, Boris
A1  - Weber, James
T1  - The macroeconomic effects of asset purchases revisited
T2  - SAFE working paper series ; No. 198
N2  - This paper revisits the macroeconomic effects of the large-scale asset purchase programmes launched by the Federal Reserve and the Bank of England from 2008. Using a Bayesian VAR, we investigate the macroeconomic impact of shocks to asset purchase announcements and assess changes in their effectiveness based on subsample analysis. The results suggest that the early asset purchase programmes had significant positive macroeconomic effects, while those of the subsequent ones were weaker and in part not significantly different from zero. The reduced effectiveness seems to reflect in part better anticipation of asset purchase programmes over time, since we find significant positive macroeconomic effects when we consider shocks to survey expectations of the Federal Reserve’s last asset purchase programme. Finally, in all estimations we find a significant and persistent positive impact of asset purchase shocks on stock prices.
T3  - SAFE working paper - 198 
KW  - unconventional monetary policy
KW  - asset purchases
KW  - monetary transmission
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/45771
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-457710
UR  - https://ssrn.com/abstract=3123004
PB  - SAFE
CY  - Frankfurt am Main
ER  -