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.
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.
| Original language | English |
|---|---|
| Title of host publication | CEPR conference on unconventional monetary policy, UPF Barcelona |
| Number of pages | 57 |
| Publication date | May 2018 |
| Pages | 1 |
| Publication status | Published - May 2018 |
| Event | CEPR conference - Pompeu Fabra University, Barcelona, Spain Duration: 27 Apr 2018 → 28 Apr 2018 https://cepr.org/content/workshops-and-conferences |
Conference
| Conference | CEPR conference |
|---|---|
| Location | Pompeu Fabra University |
| Country/Territory | Spain |
| City | Barcelona |
| Period | 27/04/2018 → 28/04/2018 |
| Internet address |
Keywords
- unconventional monetary policy
- zero lower bound
- large cross-sections
- dynamic factor model
- factor-augmented vector autoregression
- ExpectationMaximization algorithm