The Macroeconomic Effects of Large-Scale Asset Purchase Programs
The Macroeconomic Effects of Large-Scale Asset Purchase Programs
复制标题
大规模资产购买计划的宏观经济影响
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
A. ferrero
中科院分区：
文献类型：
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作者：
Han Chen;Vasco Cúrdia;A. ferrero
资产购买计划对宏观经济变量的影响可能是温和的。我们得出这一结论后，模拟的影响，联邦的第二次大规模资产购买计划（LSAP II）在DSGE模型丰富的首选栖息地框架和美国的数据估计。我们的模拟表明，这样一个计划将GDP增长提高不到半个百分点，尽管对GDP水平的影响是非常持久的。该计划对通货膨胀的边际贡献非常小。我们发现的一个关键原因是，我们估计了一个小程度的金融市场分割。如果我们用长期债务的度量来丰富可观测量的集合，则风险溢价对私人部门手中债务量的半弹性远小于最近的实证文献中所报道的。在这种情况下，我们对LSAP II对宏观经济影响的基线估计至少减少了两倍。在整个分析过程中，承诺延长名义利率零下限会增加资产购买计划对GDP增长和通胀的影响。
The effects of asset purchase programs on macroeconomic variables are likely to be moderate. We reach this conclusion after simulating the impact of the Federal Reserve’s second large-scale asset purchase program (LSAP II) in a DSGE model enriched with a preferred habitat framework and estimated on U.S. data. Our simulations suggest that such a program increases GDP growth by less than half a percentage point, although the effect on the level of GDP is very persistent. The program’s marginal contribution to inflation is very small. One key reason for our findings is that we estimate a small degree of financial market segmentation. If we enrich the set of observables with a measure of long-term debt, the semi-elasticity of the risk premium to the amount of debt in private-sector hands is substantially smaller than that reported in the recent empirical literature. In this case, our baseline estimates of the effects of LSAP II on the macroeconomy decrease by at least a factor of two. Throughout the analysis, a commitment to an extended period at the zero lower bound for nominal interest rates increases the effects of asset purchase programs on GDP growth and inflation.