THE MACROECONOMIC EFFECTS OF QUANTITATIVE EASING POLICIES

Chapter 1: Considering the existing literature on Quantitative Easing policies, the first chapter of my thesis is centred on its revision and systematization. My purpose is to schematize the literature according to the effects studied, on financial variables or macro variables, distinguishing the different types of unconventional monetary policies adopted in recent times by the four central banks under consideration (the Federal Reserve, the Bank of England, the Bank of Japan and the European Central Bank). Chapter 2: In this paper, I assess the impact of an increase of domestic assets in the balance sheets of the Federal Reserve and the European Central Bank following the global financial crisis that started in 2007. This asset increase is well represented by the so-called Quantitative Easing (QE) policy. Overall, this unconventional monetary policy was implemented to positively influence, among other things, the labour productivity growth rate and the natural or potential growth rate. I provide quarterly and annual estimates of potential growth for the United States (US) and Eurozone economies using an AS state-space model with timevarying parameters and a Kalman filtering methodology. Next, I select the best time series estimates for each area and I run different linear regression models, using one proxy for QE, one proxy for labour force, and three proxies for labour productivity, to detect the impact of this policy on the estimated potential growth rates of the US and the Euro Area. Chapter 3: The empirical analysis in this paper continues with an assessment of the macro effects of Quantitative Easing (QE) in the Eurozone. QE is well represented by the increase of domestic assets in the balance sheet of the European Central Bank (started in 2015) with the main aim of boosting the European economy recovery. Considering the main scope of this unconventional monetary policy, I selected some macro and monetary variables that represent the targets of this manoeuvre. The estimates are carried out using a difference-indifferences methodology, that adopts an occurring event to create a policy shift between two groups and allows a before and after comparison across them. The Eurozone countries represent the ‘treated’ group, while the ‘control’ group is formed by the remaining countries of the European Union that do not join the Euro Area. Accordingly, the main questions are: (1) has this non-traditional policy had any effects on those selected macro and monetary variables? (2) If so, what is the magnitude of QE in the Eurozone compared to the other European countries that were not involved in this policy? In conclusion, an Appendix Section is proposed that contains a supplemental analysis for the study of the effects of QE in the Eurozone. In this section, the potential output growth of the single 19 Member States of the Euro Area is estimated using an AS state-space model and a Kalman filter methodology, and then, the impact of QE on that series through an ordinary least squares regression is investigated.