UK QE reconsidered: the real economy effects of monetary policy inthe UK, 1990-2012 – an empirical analysis
Empirical studies of so called ‘unconventional’ monetary policy – ‘Quantitative Easing’ or ‘Large Scale Asset Purchases’ - since the North Atlantic Financial Crisis of 2007-2009 in the United Kingdom and elsewhere have mainly focussed on the effect of policy on intermediate variables rather than the...
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Centre for Banking, Finance and Sustainable Development - University of Southampton
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ftunivpalermo:oai:iris.unipa.it:10447/382677 2023-12-10T09:51:23+01:00 UK QE reconsidered: the real economy effects of monetary policy inthe UK, 1990-2012 – an empirical analysis Giovanni Bernardo Josh Ryan‐Collins Richard A. Werner Giovanni Bernardo, Josh Ryan‐Collins, Richard A. Werner 2013 http://hdl.handle.net/10447/382677 https://eprints.soton.ac.uk/354307/ eng eng Centre for Banking, Finance and Sustainable Development - University of Southampton ispartofbook:UK QE reconsidered: the real economy effects of monetary policy in the UK, 1990-2012 – an empirical analysis firstpage:1 lastpage:26 numberofpages:26 http://hdl.handle.net/10447/382677 https://eprints.soton.ac.uk/354307/ info:eu-repo/semantics/closedAccess Unconventional Monetary Policy Quantitative Easing Central Bank Settore SECS-P/01 - Economia Politica Settore SECS-P/06 - Economia Applicata info:eu-repo/semantics/other 2013 ftunivpalermo 2023-11-14T23:30:16Z Empirical studies of so called ‘unconventional’ monetary policy – ‘Quantitative Easing’ or ‘Large Scale Asset Purchases’ - since the North Atlantic Financial Crisis of 2007-2009 in the United Kingdom and elsewhere have mainly focussed on the effect of policy on intermediate variables rather than the stated ultimate goal of such policies, boosting nominal demand and GDP growth. Secondly and relatedly they tend to focus on the crisis and post-crisis period, a time of extraordinary economic and financial dislocation, which creates counterfactual and attribution problems and fails to capture typical macroeconomic lag dynamics. Adopting the approach of Voutsinas and Werner (2010), and building on Lyonnet and Werner’s (2012) study of UK QE, this paper addresses these weaknesses by 1) examining the impact of various different monetary policy instruments (including Quantitative Easing) directly on UK nominal GDP growth; and 2) using a quarterly time series beginning in the first quarter of 1990 and up to the last quarter of 2012 (92 observations in total). We use the Hendry ‘general-to-specific’ econometric methodology to estimate a parsimonious model. The results show that disaggregated bank credit to the real economy (households and firms) has the most significant impact on nominal GDP growth. Changes to the central bank’s interest rate, central bank reserves, and total central bank asset ratios drop out of the model as insignificant. The policy implication it that, as private banks continue to shrink their balance sheets in the UK and Europe following the North Atlantic Crisis of 2008, central banks might wish to consider ‘unconventional’ monetary policies that more directly boost credit to the real economy and thus nominal GDP growth. Other/Unknown Material North Atlantic IRIS Università degli Studi di Palermo |
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Open Polar |
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IRIS Università degli Studi di Palermo |
op_collection_id |
ftunivpalermo |
language |
English |
topic |
Unconventional Monetary Policy Quantitative Easing Central Bank Settore SECS-P/01 - Economia Politica Settore SECS-P/06 - Economia Applicata |
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Unconventional Monetary Policy Quantitative Easing Central Bank Settore SECS-P/01 - Economia Politica Settore SECS-P/06 - Economia Applicata Giovanni Bernardo Josh Ryan‐Collins Richard A. Werner UK QE reconsidered: the real economy effects of monetary policy inthe UK, 1990-2012 – an empirical analysis |
topic_facet |
Unconventional Monetary Policy Quantitative Easing Central Bank Settore SECS-P/01 - Economia Politica Settore SECS-P/06 - Economia Applicata |
description |
Empirical studies of so called ‘unconventional’ monetary policy – ‘Quantitative Easing’ or ‘Large Scale Asset Purchases’ - since the North Atlantic Financial Crisis of 2007-2009 in the United Kingdom and elsewhere have mainly focussed on the effect of policy on intermediate variables rather than the stated ultimate goal of such policies, boosting nominal demand and GDP growth. Secondly and relatedly they tend to focus on the crisis and post-crisis period, a time of extraordinary economic and financial dislocation, which creates counterfactual and attribution problems and fails to capture typical macroeconomic lag dynamics. Adopting the approach of Voutsinas and Werner (2010), and building on Lyonnet and Werner’s (2012) study of UK QE, this paper addresses these weaknesses by 1) examining the impact of various different monetary policy instruments (including Quantitative Easing) directly on UK nominal GDP growth; and 2) using a quarterly time series beginning in the first quarter of 1990 and up to the last quarter of 2012 (92 observations in total). We use the Hendry ‘general-to-specific’ econometric methodology to estimate a parsimonious model. The results show that disaggregated bank credit to the real economy (households and firms) has the most significant impact on nominal GDP growth. Changes to the central bank’s interest rate, central bank reserves, and total central bank asset ratios drop out of the model as insignificant. The policy implication it that, as private banks continue to shrink their balance sheets in the UK and Europe following the North Atlantic Crisis of 2008, central banks might wish to consider ‘unconventional’ monetary policies that more directly boost credit to the real economy and thus nominal GDP growth. |
author2 |
Giovanni Bernardo, Josh Ryan‐Collins, Richard A. Werner |
format |
Other/Unknown Material |
author |
Giovanni Bernardo Josh Ryan‐Collins Richard A. Werner |
author_facet |
Giovanni Bernardo Josh Ryan‐Collins Richard A. Werner |
author_sort |
Giovanni Bernardo |
title |
UK QE reconsidered: the real economy effects of monetary policy inthe UK, 1990-2012 – an empirical analysis |
title_short |
UK QE reconsidered: the real economy effects of monetary policy inthe UK, 1990-2012 – an empirical analysis |
title_full |
UK QE reconsidered: the real economy effects of monetary policy inthe UK, 1990-2012 – an empirical analysis |
title_fullStr |
UK QE reconsidered: the real economy effects of monetary policy inthe UK, 1990-2012 – an empirical analysis |
title_full_unstemmed |
UK QE reconsidered: the real economy effects of monetary policy inthe UK, 1990-2012 – an empirical analysis |
title_sort |
uk qe reconsidered: the real economy effects of monetary policy inthe uk, 1990-2012 – an empirical analysis |
publisher |
Centre for Banking, Finance and Sustainable Development - University of Southampton |
publishDate |
2013 |
url |
http://hdl.handle.net/10447/382677 https://eprints.soton.ac.uk/354307/ |
genre |
North Atlantic |
genre_facet |
North Atlantic |
op_relation |
ispartofbook:UK QE reconsidered: the real economy effects of monetary policy in the UK, 1990-2012 – an empirical analysis firstpage:1 lastpage:26 numberofpages:26 http://hdl.handle.net/10447/382677 https://eprints.soton.ac.uk/354307/ |
op_rights |
info:eu-repo/semantics/closedAccess |
_version_ |
1784896943572385792 |