Effects of asset purchases and normalisation of US monetary policy
Event details
ACDE Seminar
Date & time
Venue
Speaker
Contacts
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.
Updated: 28 March 2024/Responsible Officer: Crawford Engagement/Page Contact: CAP Web Team