Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan

@inproceedings{Schenkelberg2011RealEO,
  title={Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan},
  author={Heike Schenkelberg and Sebastian Watzka},
  year={2011}
}
Using post-1995 Japanese data we propose a new sign restriction SVAR approach to identify monetary policy shocks when the economy is at the Zero Lower Bound (ZLB). The identifying restrictions are based on predictions of Eggertsson's (2010) New Keynesian DSGE models when the economy is stuck at the ZLB. A quantitative easing shock leads to a significant decrease in long-term interest rates and significantly increases output and the price level. However, the effects are only transitory. This… CONTINUE READING

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