The Impact of QE on the UK Economy – Some Supportive Monetarist Arithmetic
The Impact of QE on the UK Economy – Some Supportive Monetarist Arithmetic
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量化宽松对英国经济的影响——一些支持性的货币主义算术
DOI：
10.2139/ssrn.1992942
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发表时间：
2012
期刊：
影响因子：
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通讯作者：
Ryland Thomas
中科院分区：
文献类型：
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作者：
Jonathan Bridges;Ryland Thomas
本文使用一个简单的货币供求框架来估计量化宽松（QE）对资产价格和名义支出的影响。我们使用标准货币会计来试图确定资产购买对广义货币持有量的影响。我们发现，2000亿英镑资产购买对货币供应的最初影响部分被货币供应的其他“冲击”所抵消。其中一些抵消可能是量化宽松的间接结果。我们的核心案例估计是，量化宽松使广义货币供应量增加了1220亿英镑或8%。我们将量化宽松对货币供应量影响的估计应用于一组“货币主义”计量经济学模型，这些模型阐明了资产价格和支出需要调整的程度，以使货币需求与量化宽松相关的广义货币供应量增加保持一致。我们倾向于认为，货币持有量增加8%可能会在2010年将收益率平均压低约150个基点，并使资产价值增加约20%。这反过来又会在2011年初对产出产生2%的峰值影响，并在一年后对通胀产生1个百分点的影响。这些估计必然是不确定的，我们表明我们的结果的敏感性不同的假设的规模的冲击货币供应量和性质的传导机制。
This paper uses a simple money demand and supply framework to estimate the impact of quantitative easing (QE) on asset prices and nominal spending. We use standard money accounting to try to establish the impact of asset purchases on broad money holdings. We show that the initial impact of £200 billion of asset purchases on the money supply was partially offset by other ‘shocks’ to the money supply. Some of these offsets may have been the indirect result of QE. Our central case estimate is that QE boosted the broad money supply by £122 billion or 8%. We apply our estimates of the impact of QE on the money supply to a set of ‘monetarist’ econometric models that articulate the extent to which asset prices and spending need to adjust to make the demand for money consistent with the increased broad money supply associated with QE. Our preferred, central case estimate is that an 8% increase in money holdings may have pushed down on yields by an average of around 150 basis points in 2010 and increased asset values by approximately 20%. This in turn would have had a peak impact on output of 2% by the start of 2011, with an impact on inflation of 1 percentage point around a year later. These estimates are necessarily uncertain and we show the sensitivity of our results to different assumptions about the size of the shock to the money supply and the nature of the transmission mechanism.