Effects of asset purchases and normalisation of US monetary policy

PLEASE NOTE: THE VENUE FOR THIS EVENT HAS CHANGED.
Crawford School of Public Policy | Arndt-Corden Department of Economics

Event details

ACDE Seminar

Date & time

Tuesday 30 April 2019
2.00pm–3.30pm

Venue

Griffin Room, Level 1, JG Crawford Building 132, Lennox Crossing, ANU

Speaker

Tatsuyoshi Okimoto, Crawford School of Public Policy, The ANU

Contacts

Ross McLeod, Seminar Convener

This paper examines changes in the effects of unconventional monetary policy in the US. To this end the study estimates a Markov-Switching VAR model with absorbing regimes to capture possible structural changes. The results detect regime changes around the beginning of 2011 and the middle of 2013. Before 2011 the US quantitative easing (QE) policy had relatively large impacts on the real economy and prices, but the later stage of QE seems to have had weaker and less-persistent effects. In addition, in the monetary normalisation regime after the middle of 2013 the asset purchase shocks had similar effects as in the later stage of QE, while the interest rate shocks had insignificant impacts on the real economy and prices. Finally, the results suggest that the positive response of durables expenditures to monetary policy shocks weakened the negative impacts of interest rate hikes during the monetary normalisation.

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