Autori
Priftis, Romanos
HOHBERGER, Stefan
Vogel, Lukas

Titolo
The macroeconomic effects of quantitative easing in the Euro area : evidence from an estimated DSGE model
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2017 - Fascicolo: 4 - Pagina iniziale: 1 - Pagina finale: 40

This paper analyses the macroeconomic effects of the ECB's quantitative easing programme using an open-economy DSGE model estimated with Bayesian techniques. Using data on government debt stocks and yields across maturities we identify the parameter governing portfolio adjustment in the private sector. Shock decompositions suggest a positive contribution of ECB QE to EA year-on-year output growth and inflation of up to 0.4 and 0.5 pp in the standard linearized version of the model. Allowing for an occasionally binding zero-bound constraint by using piecewise linear solution techniques raises the positive impact up to 1.0 and 0.7 pp, respectively.




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