Macroeconomic Effects of Quantitative and Qualitative Monetary Easing Measures

51 Pages Posted: 23 Apr 2018 Last revised: 10 Sep 2018

See all articles by Junko Koeda

Junko Koeda

Ministry of Finance, Japan; Waseda University - School of Political Science and Economics

Date Written: April 9, 2018

Abstract

We estimate a structural vector autoregressive model with an effective lower bound (ELB) using Japanese macroeconomic and financial data from the mid-90s to the end of 2016. The estimated results show that the Bank of Japan’s quantitative and qualitative easing (QQE) policy increased output via “pure” quantitative easing when the first-year’s QQE level effect was controlled, complemented by qualitative easing. Our nonlinear counter-factual analyses show that raising the ELB or lowering an inflation threshold in forward guidance is not necessarily contractionary.

Keywords: monetary policy, effective lower bound, forward guidance, structural vector autoregression, maximum likelihood

JEL Classification: E58, E52, C32

Suggested Citation

Koeda, Junko, Macroeconomic Effects of Quantitative and Qualitative Monetary Easing Measures (April 9, 2018). Available at SSRN: https://ssrn.com/abstract=3158939 or http://dx.doi.org/10.2139/ssrn.3158939

Junko Koeda (Contact Author)

Ministry of Finance, Japan ( email )

3-1-1 Kasumigaseki
Chiyoda-ku
Tokyo, 100-8940
Japan
1008940 (Fax)

Waseda University - School of Political Science and Economics ( email )

1-6-1 Nishi-Waseda
Shinjuku-ku, Tokyo 169-8050, Tokyo 169-8050
Japan

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