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Macroeconomic effects of an open-ended asset purchase programme
Institution:1. European Central Bank, Directorate General Monetary Policy, Sonnemannstrasse 20, Frankfurt am Main, 60314, Germany;2. Banca d’Italia, Directorate General for Economics, Statistics and Research, via Nazionale 91, 00184, Rome, Italy;1. European Commission, Joint Research Centre (JRC), Seville, Spain;2. Department of Cultures, Politics and Society — University of Turin, Lungo Dora Siena 100, 10153 Torino, Italy;3. European Commission, Joint Research Centre (JRC), Ispra, Italy;1. University of Calabria, Department of Economics, Statistics and Finance “Giovanni Anania”, Arcavacata di Rende, Cosenza, Italy;2. Bank of Italy, Catanzaro Branch, Catanzaro, Italy;3. Bank of Italy, Directorate General for Economics, Statistics and Research – Structural Economic Analysis Directorate – Economic History and Historical Archive Division, Rome, Italy;1. Gerald Schwartz School of Business, St Francis Xavier University, Canada;2. Monash Business School, Monash University, Australia;1. Department of Economics, Office 4022, University of National and World Economy, J.K. Studentski Grad, 1700 Sofia, Bulgaria;2. Lecturer, University of Lincoln, UK;3. CERGE-EI Graduate Teaching Fellow, CERGE-EI, Politickych veznu 7, 111 21 Prague, Czech Republic;4. Economics Department, Royal Holloway, University of London, UK;1. Department of Economics, Konkuk University, Republic of Korea;2. School of International Liberal Studies and Graduate School of Economics, Waseda University, Japan
Abstract:We evaluate the effectiveness of an open-ended asset purchase programme (APP) using a New Keynesian model of euro area. We assume that the central bank does not announce the ending date of the programme, and agents form their expectations about possible additional purchases beyond the horizon of the announcement according to the central bank reaction function, that links the purchases to the expected inflation gap. It is showed that the open-ended APP is more effective in stimulating macroeconomic conditions than committing ex ante to an ending date.
Keywords:Central bank communication  Open-ended announcement  Non-standard monetary policy  DSGE models  Euro area
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