The Macroeconomic Effects of Asset Purchases Revisited

25 Pages Posted: 14 Feb 2018

See all articles by Henning Hesse

Henning Hesse

Goethe University Frankfurt

Boris Hofmann

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

James Weber

Deloitte & Touche GmbH

Multiple version iconThere are 2 versions of this paper

Date Written: February 13, 2018

Abstract

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.

Keywords: unconventional monetary policy, asset purchases, monetary transmission

JEL Classification: E50, E51, E52

Suggested Citation

Hesse, Henning and Hofmann, Boris and Weber, James, The Macroeconomic Effects of Asset Purchases Revisited (February 13, 2018). SAFE Working Paper No. 198. Available at SSRN: https://ssrn.com/abstract=3123004 or http://dx.doi.org/10.2139/ssrn.3123004

Henning Hesse (Contact Author)

Goethe University Frankfurt ( email )

Grüneburgplatz 1
Frankfurt am Main, 60323
Germany

Boris Hofmann

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

Centralbahnplatz 2
CH-4002 Basel
Switzerland

James Weber

Deloitte & Touche GmbH

Kurfürstendamm 23
Berlin, 10719
Germany

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