این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۱ دارای ۱۵ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی موجود می باشد.
کد محصول: H727
سال نشر: ۲۰۲۱
نام ناشر (پایگاه داده): الزویر
نام مجله: Economic Modelling
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۱۵ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۱ : سیاست پولی غیرمتعارف و انتظارات تورمی در منطقه یورو
عنوان کامل انگلیسی:
Unconventional monetary policy and inflation expectations in the Euro area
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With the nominal short-term interest rates approaching the zero-lower bound, the ECB adopted a range of unconventional monetary policies (UMP) to push inflation back to its target, but inflation has remained far below two percentage points. While conventional monetary policy tools are ineffective, inflation expectations become a key channel for the transmission of monetary policy. Nevertheless, there is still no clear consensus about the effectiveness of UMP on inflation expectations. By constructing a novel measure for UMP, our study examines the effects of the ECB’s UMP on inflation expectations in the Euro area during 2009–۲۰۱۸. We find that an unanticipated UMP shock raises inflation expectations in the short-term. However, as higher inflation expectations do not boost GDP nor realized inflation, they decrease after a few months, which suggests that the expectation channel is not fully functioning even if the ECB manages to stabilize inflation expectations temporarily.
Keywords: Bayesian VAR, Qual VAR, Inflation expectations, Euro area, Quantitative easing, Unconventional monetary policy
The complexity of the conduct and transmission of monetary policy has tremendously increased since the beginning of the Great Recession in 2008. While central banks around the globe had primarily used their short-term policy rates as main tool before the crisis, the conduct of monetary policy changed when policy rates were quickly cut to zero without generating sufficient economic stimulus. With their main policy tool stuck at the zero-lower bound (ZLB), the European Central Bank (ECB), as well as several leading central banks, used new unconventional instruments in their attempt to provide further economic stimulus like Forward Guidance as well as large-scale asset purchase programmes with Quantitative Easing (QE) being the most notable one (Dell’Ariccia et al. (2018))…
In this paper, we have empirically assessed the impact of UMP on inflation expectations in the Euro area. For this purpose, we have estimated a Qual VAR model which overcomes most of the weaknesses of the traditional approach to the identification and estimation of monetary policy in the presence of UMP and the zero-lower bound. We have used monthly data and the period from 2009:01 to 2018:01, as the ECB started its first UMPs in 2009. We find that unanticipated shocks to the propensity to UMP of the ECB raise inflation expectations in the Euro area in the short run, but not in the medium term.
The result that the cumulated effect on expectations dies out after around 6 months while inflation is not affected is plausible given the recent path of inflation in the Euro area. A significant cumulated effect over more than 6 months would almost certainly affect realized inflation. There are two views on our findings: One perspective is that our results overall suggest that the expectation channel is not fully functioning since inflation is not affected. However, the more encouraging and dominating view is that QE has stabilized short-run inflation expectations, eased deflation fears and stabilized the overall economic path of the Euro area. Although we are not necessarily able to quantify the exact effects of QE, we believe that our empirical approach can be seen as complementary to alternative approaches, such as event studies and structural VARs. So far, no approach has been able to identify such effects without a significant amount of uncertainty, which suggests that different approaches should be consulted when analysing QE effects…
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