Exiting from QE / Fumio Hayashi, Junko Koeda.

Format:

Book

Author/Creator:

Hayashi, Fumio.

Contributor:

National Bureau of Economic Research.

Koeda, Junko.

Series:

Working Paper Series (National Bureau of Economic Research) no. w19938.

NBER working paper series no. w19938

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2014.

Summary:

We develop a regime-switching SVAR (structural vector autoregression) in which the monetary policy regime, chosen by the central bank responding to economic conditions, is endogenous and observable. There are two regimes, one of which is QE (quantitative easing). The model can incorporate the exit condition for terminating QE. We then apply the model to Japan, a country that has accumulated, by our count, 130 months of QE as of December 2012. Our impulse response and counter-factual analyses yield two findings about QE. First, an increase in reserves raises inflation and output. Second, terminating QE can be expansionary.

Notes:

Print version record

February 2014.