文章基本信息

标题：Unconventional U.S. Monetary Policy: New Tools, Same Channels?
本地全文：下载
作者：Martin Feldkircher ; Florian Huber
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2018
卷号：11
期号：4
DOI：10.3390/jrfm11040071
语种：English
出版社：MDPI, Open Access Journal
摘要：In this paper, we compare the transmission of a conventional monetary policyshock with that of an unexpected decrease in the term spread, which mirrors quantitativeeasing. Employing a time-varying vector autoregression with stochastic volatility, our results aretwo-fold: First, the spread shock works mainly through a boost to consumer wealth growth, whilea conventional monetary policy shock affects real output growth via a broad credit/bank lendingchannel. Second, both shocks exhibit a distinct pattern over our sample period. More specifically, wefind small output effects of a conventional monetary policy shock during the period of the globalfinancial crisis and stronger effects in its aftermath. This might imply that when the central bank hasleft the policy rate unaltered for an extended period of time, a policy surprise might boost outputparticularly strongly. By contrast, the spread shock has affected output growth most strongly duringthe period of the global financial crisis and less so thereafter. This might point to diminishing effectsof large-scale asset purchase programs.
关键词：unconventional monetary policy; transmission channel; Bayesian TVP-SV-VAR