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Measuring Policy Effects since the Introduction of Quantitative and Qualitative Monetary Easing (QQE): An Analysis Using the Macroeconomic Model Q-JEM

日本語

February 19, 2025
Shunsuke Haba*1
Kimihiko Izawa*2
Yui Kishaba*3
Yusuke Takahashi*4
Shunichi Yoneyama*5

Abstract

This paper estimates the policy effects of the Bank of Japan's expansionary monetary policy measures since the introduction of Quantitative and Qualitative Monetary Easing (QQE) in 2013 using the Bank of Japan's large-scale macroeconomic model, the Quarterly Japanese Economic Model (Q-JEM). Specifically, we generate "counterfactual paths" for key financial variables, including nominal interest rates, as well as inflation expectations, in a hypothetical scenario where these policy measures are absent. Then, we conduct counterfactual analysis using Q-JEM to simulate the developments of real GDP and the CPI under those counterfactual paths, and estimate the policy effects as the differences between the actual values and the simulation results. The analysis shows that, during the period from the introduction of QQE in 2013 to the April-June quarter of 2023, the policy measures have on average pushed up the level of real GDP by around +1.3 to +1.8 percent and the year-on-year rate of change in the CPI (less fresh food and energy) by around +0.5 to +0.7 percentage points.

JEL classification
C53, E37, E43, E47, E52, E58

Keywords
Monetary policy, Policy effect, Large macroeconomic model, Simulation

We received valuable comments from Kosuke Aoki, Kozo Ueda, and Bank of Japan staff. Haruhiko Inatsugu, Ikuo Kamei, and Nao Shibata also contributed to this research project especially in the early stage, including the literature survey. We would like to express our gratitude to all of them. Any remaining errors are attributable to the authors. The views expressed in this paper are those of the authors and do not necessarily reflect those of the Bank of Japan.

  1. *1Research and Statistics Department, Bank of Japan (currently Monetary Affairs Department)
    E-mail : shunsuke.haba@boj.or.jp
  2. *2Research and Statistics Department, Bank of Japan (currently Osaka Branch)
    E-mail : kimihiko.izawa@boj.or.jp
  3. *3Research and Statistics Department, Bank of Japan
    E-mail : yui.kishaba@boj.or.jp
  4. *4Research and Statistics Department, Bank of Japan
    E-mail : yuusuke.takahashi@boj.or.jp
  5. *5Research and Statistics Department, Bank of Japan
    E-mail : shunichi.yoneyama@boj.or.jp

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