The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis

32 Pages Posted: 2 Oct 2012

See all articles by Leonardo Gambacorta

Leonardo Gambacorta

Bank for International Settlements (BIS); Centre for Economic Policy Research (CEPR)

Boris Hofmann

Bank for International Settlements (BIS) - Monetary and Economic Department

Gert Peersman

Ghent University - Department of Financial Economics

Date Written: August 1, 2012

Abstract

This paper assesses the macroeconomic effects of unconventional monetary policies by estimating a panel VAR with monthly data from eight advanced economies over a sample spanning the period since the onset of the global finanancial crisis. It finds that an exogenous increase in central bank balance sheets at the zero lower bound leads to a temporary rise in economic activity and consumer prices. The estimated output effects turn out to be qualitatively similar to the ones found in the literature on the effects of conventional monetary policy, while the impact on the price level is weaker and less persistent. Individual country results suggest that there are no major differences in the macroeconomic effects of unconventional monetary policies across countries, despite the heterogeneity of the measures that were taken.

Keywords: unconventional monetary policy, zero lower bound, panel VARs

JEL Classification: C32, E30, E44, E51, E52

Suggested Citation

Gambacorta, Leonardo and Hofmann, Boris and Peersman, Gert, The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis (August 1, 2012). BIS Working Paper No. 384, Available at SSRN: https://ssrn.com/abstract=2142513

Leonardo Gambacorta (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Boris Hofmann

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

Gert Peersman

Ghent University - Department of Financial Economics ( email )

W. Wilsonplein 5D
Ghent, 9000
Belgium
+3292643514 (Phone)

HOME PAGE: www.feb.ugent.be/fineco/gert.html

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