Monetary policy evaluation. A counterfactual analysis based on dynamic factor models |
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Authors: | German Lopez Buenache |
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Affiliation: | Department of Statistics, Instituto Flores de Lemus, Universidad Carlos III de Madrid, Getafe, Spain |
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Abstract: | This article complements the recent literature analysing the effects of the unconventional monetary stimuli applied after the Great Recession by proposing an intuitive and easy-to-implement method to evaluate different exit strategies towards a traditional monetary context. This approach, useful for central bankers or researchers interested in the effects of tapering, allows us to evaluate the consequences of a given monetary policy path on the future evolution of key macroeconomic indicators. The results based on this methodology provide a measurement of the differences in economic performance under contractionary and expansionary policies and support the recent success of monetary stimuli in boosting real indicators while having little effect on inflation. |
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Keywords: | Monetary policy quantitative easing zero lower bound shadow rate tapering |
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