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Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies
Author(s) -
MOUABBI SARAH,
SAHUC JEANGUILLAUME
Publication year - 2019
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12628
Subject(s) - economics , counterfactual thinking , monetary policy , inflation (cosmology) , deflation , dynamic stochastic general equilibrium , shadow (psychology) , monetary economics , interest rate , recession , zero lower bound , keynesian economics , macroeconomics , econometrics , psychology , philosophy , physics , epistemology , theoretical physics , psychotherapist
Abstract We quantify the macroeconomic effects of the European Central Bank's unconventional monetary policies using a dynamic stochastic general equilibrium model which includes a set of shadow interest rates. Extracted from the yield curve, these shadow rates provide unconstrained measures of the overall stance of monetary policy. Counterfactual analyses show that, without unconventional measures, the euro area would have suffered (i) a substantial loss of output since the Great Recession and (ii) a period of deflation from mid‐2015 to early 2017. Specifically, year‐on‐year inflation and GDP growth would have been on average about 0.61% and 1.09% below their actual levels over the period 2014Q1–17Q2, respectively.