Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/45113

TitleOn the macroeconomic and wealth effects of unconventional monetary policy
Author(s)Jawadi, Fredj
Sousa, Ricardo M.
Traverso, Raffaella
KeywordsUnconventional monetary policy
Macroeconomic impact
Wealth effects
Bayesian Structural
VAR
Bayesian Structural VAR
Issue date2017
PublisherCambridge University Press
JournalMacroeconomic Dynamics
CitationJawadi, F., Sousa, R. M., & Traverso, R. (2017). On the macroeconomic and wealth effects of unconventional monetary policy. Macroeconomic Dynamics, 1-16. doi: 10.1017/S1365100515000292
Abstract(s)This paper focuses on the macroeconomic and wealth effects of unconventional monetary policy. To this end, we estimate a Bayesian Structural Vector Autoregression (B-SVAR) using U.S. monthly data for the post-Lehman Brotherscollapse period. We show that a positive shock to the growth rate of central bank reserves does not have a substantial impact on the industrial production or the consumer price. However, the shock gives a strong boost to asset prices, which is larger in magnitude for stock prices than for housing prices. Thus, unconventional monetary policy typically operates via portfolio rebalancing effects. A VAR counter-factual exercise confirms the role of the shocks to the growth rate of central bank reserves in explaining the dynamics of the variables included in the system, especially, in the case of asset prices. Finally, additional empirical assessments uncover an important change in the conduct of monetary policy from "standard" to "exceptional" times and the suitability of our model in capturing such structural transformation.
TypeArticle
URIhttp://hdl.handle.net/1822/45113
DOI10.1017/S1365100515000292
ISSN1365-1005
e-ISSN1469-8056
Publisher versionhttps://www.cambridge.org/core/journals/macroeconomic-dynamics/article/on-the-macroeconomic-and-wealth-effects-of-unconventional-monetary-policy/A31D90ED61270F0A1CB4326DAAD805F1
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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