Assessing the Economy‐Wide Effects of Quantitative Easing

32 Pages Posted: 30 Oct 2012

See all articles by George Kapetanios

George Kapetanios

King's College, London

Haroon Mumtaz

University of London - School of Sciences

Ibrahim Stevens

Bank of England

Konstantinos Theodoridis

Cardiff University

Multiple version iconThere are 2 versions of this paper

Date Written: November 2012

Abstract

This article examines the macroeconomic impact of the first round of quantitative easing (QE) by the Bank of England. We attempt to quantify the effects of these purchases by focusing on the impact of lower long‐term interest rates on the wider economy. We use three different models to estimate the impact of QE on output and inflation: a large Bayesian vector autoregression (VAR), a change‐point structural VAR and a time‐varying parameter VAR. Our estimates suggest that QE may have had a peak effect on the level of real GDP of around and a peak effect on annual CPI inflation of about % points.

Suggested Citation

Kapetanios, George and Mumtaz, Haroon and Stevens, Ibrahim and Theodoridis, Konstantinos, Assessing the Economy‐Wide Effects of Quantitative Easing (November 2012). The Economic Journal, Vol. 122, Issue 564, pp. F316-F347, 2012. Available at SSRN: https://ssrn.com/abstract=2168585 or http://dx.doi.org/10.1111/j.1468-0297.2012.02555.x

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

Haroon Mumtaz

University of London - School of Sciences ( email )

London, WC1E 7HX
United Kingdom

Ibrahim Stevens

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Konstantinos Theodoridis

Cardiff University ( email )

Aberconway Building
Colum Drive
Cardiff, Wales CF10 3EU
United Kingdom

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