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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

Author

Listed:
  • Shunsuke Haba

    (Bank of Japan)

  • Kimihiko Izawa

    (Bank of Japan)

  • Yui Kishaba

    (Bank of Japan)

  • Yusuke Takahashi

    (Bank of Japan)

  • Shunichi Yoneyama

    (Bank of Japan)

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.

Suggested Citation

  • Shunsuke Haba & Kimihiko Izawa & Yui Kishaba & Yusuke Takahashi & Shunichi Yoneyama, 2025. "Measuring Policy Effects since the Introduction of Quantitative and Qualitative Monetary Easing (QQE): An Analysis Using the Macroeconomic Model Q-JEM," Bank of Japan Working Paper Series 25-E-2, Bank of Japan.
    • Handle: RePEc:boj:bojwps:wp25e02
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    References listed on IDEAS

    as
    1. Michael T. Kiley & John M. Roberts, 2017. "Monetary Policy in a Low Interest Rate World," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 317-396.
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    4. Ichiro Fukunaga & Naoko Hara & Satoko Kojima & Yoichi Ueno & Shunichi Yoneyama, 2011. "The Quarterly Japanese Economic Model (Q-JEM): 2011 Version," Bank of Japan Working Paper Series 11-E-11, Bank of Japan.
    5. Nobuyuki Oda & Kazuo Ueda, 2007. "The Effects Of The Bank Of Japan'S Zero Interest Rate Commitment And Quantitative Monetary Easing On The Yield Curve: A Macro‐Finance Approach," The Japanese Economic Review, Japanese Economic Association, vol. 58(3), pages 303-328, September.
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    7. Atsuki Hirata & Sohei Kaihatsu & Yoshiyasu Kasai & Hiroki Yamamoto & Jouchi Nakajima, 2024. "Effects and Side Effects of Unconventional Monetary Policy: A Shadow Rate Approach," Bank of Japan Working Paper Series 24-E-21, Bank of Japan.
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    More about this item

    Keywords

    Monetary policy; Policy effect; Large macroeconomic model; Simulation;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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