Next Article in Journal
Volatility Spillovers Arising from the Financialization of Commodities
Previous Article in Journal
Identification of Core Suppliers Based on E-Invoice Data Using Supervised Machine Learning
Article Menu

Export Article

Open AccessArticle
J. Risk Financial Manag. 2018, 11(4), 71; https://doi.org/10.3390/jrfm11040071

Unconventional U.S. Monetary Policy: New Tools, Same Channels?

1
Oesterreichische Nationalbank (OeNB), A-1090 Vienna, Austria
2
Salzburg Centre of European Union Studies (SCEUS), A-5020 Salzburg, Austria
The views expressed in this paper are not necessarily those of the Oesterreichische Nationalbank. We would like to thank Alessandro Galesi, Lukas Reiss, Fabio Rumler and the participants of the 9th International Conference on Computational and Financial Econometrics (CFE 2015) and research seminars at the OeNB and the Vienna University of Business and Economics for helpful comments.
*
Author to whom correspondence should be addressed.
Received: 1 October 2018 / Revised: 18 October 2018 / Accepted: 25 October 2018 / Published: 27 October 2018
(This article belongs to the Special Issue Bayesian Econometrics)
Full-Text   |   PDF [589 KB, uploaded 27 October 2018]   |  

Abstract

In this paper, we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease in the term spread, which mirrors quantitative easing. Employing a time-varying vector autoregression with stochastic volatility, our results are two-fold: First, the spread shock works mainly through a boost to consumer wealth growth, while a conventional monetary policy shock affects real output growth via a broad credit/bank lending channel. Second, both shocks exhibit a distinct pattern over our sample period. More specifically, we find small output effects of a conventional monetary policy shock during the period of the global financial crisis and stronger effects in its aftermath. This might imply that when the central bank has left the policy rate unaltered for an extended period of time, a policy surprise might boost output particularly strongly. By contrast, the spread shock has affected output growth most strongly during the period of the global financial crisis and less so thereafter. This might point to diminishing effects of large-scale asset purchase programs. View Full-Text
Keywords: unconventional monetary policy; transmission channel; Bayesian TVP-SV-VAR unconventional monetary policy; transmission channel; Bayesian TVP-SV-VAR
Figures

Graphical abstract

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Feldkircher, M.; Huber, F. Unconventional U.S. Monetary Policy: New Tools, Same Channels? J. Risk Financial Manag. 2018, 11, 71.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top