量化宽松与美国宏观经济表现

IF 1.7 Q3 BUSINESS, FINANCE

Journal of Central Banking Theory and Practice Pub Date : 2022-09-01 DOI:10.2478/jcbtp-2022-0024

Inda Mulaahmetović

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引用次数: 0

摘要

摘要本文利用1994年1月至2022年1月期间美联储的月度数据，通过估计向量自回归(VAR)和脉冲响应函数(Impulse Response Function)，考察了美国实施量化宽松政策下宏观经济变量之间的关系。变量包括:消费者物价指数(cpi);工业生产(INDPRO);失业率;利率，政府证券，政府债券;波动率指数(VIXCLS)、实际广泛有效汇率(RBUSBIS)、联邦盈余或赤字(MTSDS133FMS)、货币供应量M1 (WM1NS)、M2 (WMNS)、M3 (MABMM301USM189S)。为量化宽松的有效性评价提供了以消费物价指数和工业生产为宏观经济变量的证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Quantitative Easing and Macroeconomic Performance in the United States

Abstract This scientific paper examines the relationship between macroeconomic variables whose performance is measured under the implementation of Quantitative Easing in the US, by estimating vector autoregression (VAR) and Impulse Response Function with monthly data from US Federal Reserve, observed during the period January 1994-January 2022. Variables include: Consumer Price Index (CPIAUCSL); Industrial Production (INDPRO); Unemployment Rate (UNRATE); Interest Rates, Government Securities, Government Bonds (INTGSBUSM193N); Volatility Index (VIXCLS), Real Broad Effective Exchange Rate (RBUSBIS), Federal Surplus or Deficit (MTSDS133FMS), Money Supply M1 (WM1NS), M2 (WMNS), M3 (MABMM301USM189S). An evidence on macroeconomic variables of Consumer Price Index and Industrial Production when evaluating the effectiveness of QE is provided.

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来源期刊

Journal of Central Banking Theory and Practice BUSINESS, FINANCE-

CiteScore

2.80

自引率

57.10%

发文量

审稿时长

7 weeks

期刊介绍： Journal of Central Banking Theory and Practice is a scientific journal dedicated to publishing quality papers and disseminating original, relevant and applicable economic research. Scientific and professional papers that are published in the Journal of Central Banking Theory and Practice cover theoretical and practical aspects of central banking, monetary policy, including the supervision issues, as well as banking and management in central banks. The purpose of the journal is to educate the general public about the key issues that the central bankers globally face, as well as about contemporary research and achievements in the field of central banking theory and practice.