Optimal quantitative easing in a monetary union / by Serdar Kabaca, Renske Maas, Kostas Mavromatis and Romanos Priftis. : FB3-5/2020-49E-PDF
"This paper explores the optimal allocation of government bond purchases within a monetary union, using a two-region DSGE model, where regions are asymmetric with respect to economic size and portfolio characteristics: the extent of substitutability between assets of different maturity and origin, asset home bias, and steady-state levels of government debt. An optimal quantitative easing (QE) policy under commitment does not only reflect different region sizes but is also a function of these dimensions of portfolio heterogeneity. By calibrating the model to the euro area, we show that optimal QE favors purchases from the smaller region (Periphery instead of Core), given that the former faces stronger portfolio frictions. A fully optimal policy consisting of both the short-term interest rate and QE lifts the monetary union away from the zero lower bound faster than an optimal interest rate policy alone, which entails forward guidance"--Abstract, page ii.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.894143&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | Optimal quantitative easing in a monetary union / by Serdar Kabaca, Renske Maas, Kostas Mavromatis and Romanos Priftis. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-49 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "Last updated: November 24, 2020." Includes bibliographical references (pages 44-47). |
| Information sur la publication | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 |
| Auteur / Contributeur | Kabaca, Serdar, author. |
| Description | 1 online resource (ii, 74 pages) : colour illustrations. |
| Numéro de catalogue |
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| Descripteurs | Quantitative easing (Monetary policy) -- Econometric models. Monetary unions -- Econometric models. Government securities -- Econometric models. Assouplissement quantitatif (Politique monétaire) -- Modèles économétriques. Unions monétaires -- Modèles économétriques. Effets publics -- Modèles économétriques. |
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