This paper sets out a framework for classifying and thinking about unconventional monetary policies, highlighting how they can be viewed within the overall context of monetary policy implementation. The framework clarifies the differences among the various forms of unconventional monetary policy, provides a systematic characterization of the wide range of central bank responses to the recent crisis, helps to underscore the channels of transmission and identifies some of the main policy challenges. In the process, the paper also addresses a number of contentious analytical issues, notably the role of bank reserves and their inflationary consequences.
Cet article fait le point sur la littérature s'intéressant aux politiques monétaires non conventionnelles, de leur mise en œuvre à leurs effets sur l'économie. En particulier, nous discutons en détail les deux principales mesures utilisées dans la plupart des économies développées, à savoir le guidage des taux d'intérêt et les achats massifs de titres. Dans l'ensemble, il existe un quasi-consensus sur le fait que ces mesures ont été utiles, bien qu'il y ait quelques opinions divergentes. Parce que ces politiques ont laissé leur empreinte sur les économies et sur les bilans des banques centrales, nous proposons un aperçu de leur héritage et nous demandons si elles ont conduit à un changement des « règles du jeu » pour fixer les taux d'intérêt et choisir la taille et la composition des bilans des banques centrales. Enfin, nous discutons de l'opportunité de modifier les objectifs et les instruments de la politique monétaire dans le futur, par rapport à la situation d'avant la crise.
O principal objetivo desta dissertação passa por estudar terórica e empiricamente o impacto das medidas não convencionais adoptadas pelo Banco Central Europeu nos custos de financiamento dos bancos e dos países. Assim, verificou-se qual o impacto dos programmas de compra de ativos pelo BCE nos yields das obrigações garantidas por créditos (asset securitization bonds), obrigações hipotecárias (covered bonds) e obrigações soberanas (sovereign bonds). Adicionalmente, foi analisado o impacto de algumas medidas execionais de provisão de liquidez nas taxas referidas. A amostra utilizada consistiu em 23.425 obrigações, emitidas entre 1 de Janeiro de 2000 e 31 de Dezembro de 2016, com a seguinte distribuição: 1.477 obrigações garantidas por créditos, 12.989 obrigações hipotecárias e 8.959 obrigações soberanas. Concluiu-se que apenas o programa de compra de obrigações do setor público teve impacto nos yields das obrigações garantidas por créditos. Contrariamente ao esperado, este programa contribuiu para o aumento destas taxas. O primeiro (CBPP1) e o terceiro (CBPP3) programas de compra de obrigações hipotecárias contribuiram para a diminuição dos yields destas obrigações. Adicionalmente, os resultados demostram que o programa de compra de obrigações do setor publico, bem como os programas (CBPP1) e (CBPP3) , provocaram uma redução nos yields das obrigações soberanas. ; This dissertation aims to theoretically and empirically analyse the impact of unconventional monetary policies adopted by the ECB on the borrowing costs of banks and governments. We analyse the impact of the securities market programme, asset-backed securities purchase programme, covered bond purchase programmes 1, 2 and 3 and public sector purchase programme on the bond yields. Moreover, we also analyse the impact of some ECB exceptional liquidity provision measures. The base sample used on the empirical analysis consists on 23,525 bonds issued between January 1, 2000 and December 31, 2016, of which 1,477 are asset securitization bonds, 12,989 are covered bonds; and 8,959 are sovereign bonds. We conclude that only public sector purchase programme impacted significantly on asset securitization bonds. Contrary to we expected, this programme contributed to an increase of bond yields. Besides that, the covered bond purchase programmes 1 and 3 lead to a significant decrease of covered bond yields. Aditionally, the results show that the public-sector purchase programme and the covered bond purchase programmes 1 and 3 have a significant negative impact on sovereign bonds yields.
Abstract: This paper presents a small open economy model to analyze the role of central bank liquidity management in implementing "unconventional" monetary policies within an inflation targeting framework. In particular, the paper explicitly models the facilities that the central bank uses to manage liquidity in the economy, which creates a role for the central bank balance sheet in equilibrium. This permits the analysis of two "unconventional" policies: sterilized exchange-rate interventions and expanding the list of eligible collaterals accepted at the liquidity facilities operated by the central bank. These policies have been recently implemented by several central banks: the former as a way to counteract persistent appreciations in the domestic currency, and the latter as a response to the recent global financial crisis in 2008. As a case study, the paper provides a detailed account of the Chilean experience with these alternative tools, as well as a quantitative evaluation of the effects of some of these policies
Central banks that work under an inflation-targeting regime generally use an interest rate as the main instrument to implement monetary policy. The latter can be denominated conventional monetary policy. Central banks often deviate from this practice, however, and engage in other policies to deal with particular situations. As these alternatives depart from the usual practice, they are generally labeled "unconventional" policies. During the recent global financial crisis and recession of 2008–09, central banks around the world and in Latin America, in particular, responded to external shocks in a variety of ways. Canales-Kriljenko and others provide a precise description of how different Latin American central banks reacted to the U.S. financial crisis shock in 2008, with an emphasis on the heterogeneity in the use of unconventional monetary policy instruments. For example, while Colombia and Peru lowered reserve requirements in their banking systems, the Central Bank of Chile relaxed the collateral requirements for repurchase (repo) transactions. Also, Chile and Peru extended the repayment period in repo transactions.
L'objectif de cet article est d'évaluer les effets des annonces de politiques monétaires non conventionnelles (PMNC) de la Banque Centrale Européenne sur les anticipations des investisseurs dans la zone euro dans son ensemble et dans huit pays membres en particulier. A cette fin, nous utilisons d'abord la méthode de Nelson-Siegel-Svensson pour modéliser et estimer la forme des courbes des taux. Ensuite, nous utilisons des modèles GARCH multivariés pour estimer les effets des annonces des PMNC sur quatre paramètres clés extraits des courbes des taux estimées, qui peuvent être interprétés en termes d'anticipations des investisseurs sur les perspectives conjoncturelles et de politique économique. Globalement, nous trouvons que les annonces des PMNC ont plutôt été bien accueillies par les marchés financiers. En particulier, elles ont contribué à rendre les agents économiques plutôt optimistes quant aux anticipations d'inflation et de croissance économique. En ce sens, jusqu'à présent, nous ne trouvons pas de preuve de « japonisation » de la zone euro.
AbstractJapan is the country with the longest history of implementing unconventional monetary policies, which were first introduced more than fifteen years ago and have been expanded several times since then. This study attempts to assess the overall macroeconomic effects of Japan's unconventional monetary policies based on a stylized block‐recursive vector autoregression with a smooth transition. The results suggest that expansionary unconventional monetary policy shocks have clear macroeconomic effects, leading to a persistent rise in real output and inflation. In addition, we demonstrate that these macroeconomic effects have become more persistent for output as well as stronger and more persistent for inflation in recent years, including in the quantitative and qualitative monetary easing period.
