Real effects of risk easing by the Federal Reserve

Lasse Bork

Real effects of risk easing by the Federal Reserve

Macroeconomic Methodology, Theory and Economic Policy

Publikation: Bidrag til bog/antologi/rapport/konference proceeding › Konferenceartikel i proceeding › Forskning › peer review

Abstract

The recent large-scale asset purchases by the Federal Reserve effectively transferred risk from the private sector to the Federal Reserve's balance sheet.
I estimate the economy-wide real effects of this risk easing using a large-dimensional dynamic factor model and demontrate empirically that the roughly USD 2 trillion purchases of mortgage backed securities by the Federal Reserve Bank during the recent crisis avoided a severe downturn according to estimates from a counterfactual analysis.

Originalsprog	Engelsk
Titel	CEPR conference on unconventional monetary policy, UPF Barcelona
Antal sider	57
Publikationsdato	maj 2018
Sider	1
Status	Udgivet - maj 2018
Begivenhed	CEPR conference - Pompeu Fabra University, Barcelona, Spanien Varighed: 27 apr. 2018 → 28 apr. 2018 https://cepr.org/content/workshops-and-conferences

Konference

Konference	CEPR conference
Lokation	Pompeu Fabra University
Land/Område	Spanien
By	Barcelona
Periode	27/04/2018 → 28/04/2018
Internetadresse	https://cepr.org/content/workshops-and-conferences

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Citationsformater

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title = "Real effects of risk easing by the Federal Reserve",

abstract = "The recent large-scale asset purchases by the Federal Reserve effectively transferred risk from the private sector to the Federal Reserve's balance sheet. I estimate the economy-wide real effects of this risk easing using a large-dimensional dynamic factor model and demontrate empirically that the roughly USD 2 trillion purchases of mortgage backed securities by the Federal Reserve Bank during the recent crisis avoided a severe downturn according to estimates from a counterfactual analysis.",

keywords = "unconventional monetary policy, zero lower bound, large cross-sections, dynamic factor model, factor-augmented vector autoregression, ExpectationMaximization algorithm",

author = "Lasse Bork",

year = "2018",

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language = "English",

pages = "1",

booktitle = "CEPR conference on unconventional monetary policy, UPF Barcelona",

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AB - The recent large-scale asset purchases by the Federal Reserve effectively transferred risk from the private sector to the Federal Reserve's balance sheet. I estimate the economy-wide real effects of this risk easing using a large-dimensional dynamic factor model and demontrate empirically that the roughly USD 2 trillion purchases of mortgage backed securities by the Federal Reserve Bank during the recent crisis avoided a severe downturn according to estimates from a counterfactual analysis.

KW - unconventional monetary policy

KW - zero lower bound

KW - large cross-sections

KW - dynamic factor model

KW - factor-augmented vector autoregression

KW - ExpectationMaximization algorithm

UR - http://www.crei.cat/event/conference-on-measuring-the-effects-of-unconventional-monetary-policy-in-the-data-what-have-we-learned/

M3 - Article in proceeding

SP - 1

BT - CEPR conference on unconventional monetary policy, UPF Barcelona

T2 - CEPR conference

Y2 - 27 April 2018 through 28 April 2018

ER -

Real effects of risk easing by the Federal Reserve

Abstract

Konference

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