Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies - Archive ouverte HAL
Article Dans Une Revue Journal of Money, Credit and Banking Année : 2019

Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies

Jean-Guillaume Sahuc
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Sarah Mouabbi
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Résumé

We quantify the macroeconomic effects of the European Central Bank’s unconventional monetary policies using a DSGE 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 2014Q1-2017Q2, respectively.

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Dates et versions

hal-02055111 , version 1 (03-03-2019)

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Jean-Guillaume Sahuc, Sarah Mouabbi. Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies. Journal of Money, Credit and Banking, 2019, 51 (4), pp.831-858. ⟨10.1111/jmcb.12628⟩. ⟨hal-02055111⟩
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