Assessing the Economy‐wide Effects of Quantitative Easing

Kapetanios, George; Mumtaz, Haroon; Stevens, Ibrahim; Theodoridis, Konstantinos

doi:10.1111/j.1468-0297.2012.02555.x

Cited by 207 publications

(140 citation statements)

References 52 publications

(81 reference statements)

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“…For the UK, Kapetanios et al (2012) examine the impact of the Bank of England's QE asset purchases on GDP and inflation in the UK. In this article, three VAR models, each incorporating structural change in different ways, are used to produce counterfactual forecasts, assuming that QE acted to reduce gilt spreads.…”

Section: The Impact On the Wider Macroeconomymentioning

confidence: 99%

Quantitative Easing and Unconventional Monetary Policy – an Introduction

Joyce

Miles

Scott

et al. 2012

The Economic Journal

321

171

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This article assesses the impact of Quantitative Easing and other unconventional monetary policies followed by central banks in the wake of the financial crisis that began in 2007. We consider the implications of theoretical models for the effectiveness of asset purchases and look at the evidence from a range of empirical studies. We also provide an overview of the contributions of the other articles in this Feature.

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Section: The Impact On the Wider Macroeconomymentioning

confidence: 99%

Quantitative Easing and Unconventional Monetary Policy – an Introduction

Joyce

Miles

Scott

et al. 2012

The Economic Journal

321

171

View full text Add to dashboard Cite

show abstract

“…Their results suggest that purchases of commercial paper resulted in a drop in the yields of these tools, but that purchases of corporate bonds did not have a significant impact. In the UK market, Kapetanios et al (2012) and Lyonnet and Werner (2012) focused on the Bank of England's QE strategy, but they found the opposite results. Kapetanios et al (2012) examined the effect of QE on UK output growth and inflation.…”

Section: Literature Reviewmentioning

confidence: 82%

“…In the UK market, Kapetanios et al (2012) and Lyonnet and Werner (2012) focused on the Bank of England's QE strategy, but they found the opposite results. Kapetanios et al (2012) examined the effect of QE on UK output growth and inflation. Three VAR models with different structural changes were used in their analysis.…”

Section: Literature Reviewmentioning

confidence: 82%

The effect of reducing quantitative easing on emerging markets

Bouraoui

2015

Applied Economics

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US Federal Reserve (Fed) announced a reduction in the asset purchase programme of its quantitative easing policy. This article investigates the impact of this news on the currencies of emerging markets. Using event study methodology, our results report a global significant depreciation in the currencies of all emerging markets in our sample, but with different depreciation sizes from one market to another. To test whether the depreciation in currencies is driven by capital flow components, a regression analysis is performed. Inward FDI as well as outward FDI appear to have more explanatory power than inward and outward portfolio investment in explaining the impact. With the slowdown in asset purchases by the Fed, emerging countries have incurred large capital outflows from their markets to the US market, resulting in a drop in their currencies.

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“…According to Kapetanios et al (), the effects of the BOE's purchase of assets can be captured by using three different VAR models. The results indicate that QE has a peak effect on output and price level at around 1.5 percentage points.…”

Section: Impulse Responses To Qe Shocksmentioning

confidence: 99%

Impacts of Quantitative Monetary Easing Policy in the United States and Japan on the Thai Economy

Nidhiprabha

2016

The Developing Economies

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This paper compares and contrasts the impact of quantitative easing (QE) monetary policy conducted by the Federal Reserve Bank and the Bank of Japan on the Thai economy. The impact of the first round of QE policy is related to Thailand's export market exposures, trade, and financial linkages with the United States and Japan. In the short run, QE has either an expansionary or contractionary effect on Thailand's output depending on whether the baht depreciates or appreciates against the US dollar and the Japanese yen. In the long run, when QE stimulates world output expansion, Thailand's manufactured output and exports respond positively to world economic recovery. In the medium run, the impact of QE is related to the appreciation of the Chinese yuan and the slowing of the Chinese economy, which further depresses Thailand's exports and prolongs Thailand's output recovery.

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Assessing the Economy‐wide Effects of Quantitative Easing

Cited by 207 publications

References 52 publications

Quantitative Easing and Unconventional Monetary Policy – an Introduction

Quantitative Easing and Unconventional Monetary Policy – an Introduction

The effect of reducing quantitative easing on emerging markets

Impacts of Quantitative Monetary Easing Policy in the United States and Japan on the Thai Economy

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