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Sims, Eric; Wu, Jing Cynthia
Journal of monetary economics, 03/2021, Letnik: 118Journal Article
•We build a quantitative DSGE model to simultaneously study the three principal tools of unconventional monetary policy - quantitative easing, forward guidance, and negative interest rates.•Endogenous quantitative easing via a feedback rule can largely mitigate the costs of a binding zero lower bound.•We discuss implications of large central bank balances for quantitative tightening and the efficacy of negative interest rate policy. We develop a structural DSGE model to systematically study the principal tools of unconventional monetary policy – quantitative easing (QE), forward guidance, and negative interest rate policy (NIRP) – as well as the interactions between them. To generate the same output response, the requisite NIRP and forward guidance interventions are twice as large as a conventional policy shock, which seems implausible in practice. In contrast, QE via an endogenous feedback rule can alleviate the constraints on conventional policy posed by the zero lower bound. Quantitatively, QE1-QE3 can account for two thirds of the observed decline in the “shadow” Federal Funds rate. In spite of its usefulness, QE does not come without cost. A large balance sheet has consequences for different normalization plans, the efficacy of NIRP, and the effective lower bound on the policy rate.
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