Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/299052 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 11 [Issue:] 3 [Year:] 2022 [Pages:] 79-98
Publisher: 
Sciendo, Warsaw
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.
Subjects: 
Quantitative Easing
US Federal Reserve
VAR
ImpulseResponse Function
JEL: 
E52
F00
E65
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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