The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis





  • We would like to thank two anonymous referees, Claudio Borio, Selien De Schryder, Dan Thornton, Fabrizio Zampolli, and participants at the Bank of England conference “Learning the Lessons from QE and Other Unconventional Monetary Policies,” the EC2 conference “Econometrics for Policy Analysis—After the Crisis and Beyond,” and an internal BIS seminar for helpful comments. Bilyana Bogdanova provided excellent research assistance. The opinions expressed in this paper are those of the authors and do not necessarily reflect the views of the BIS.


This paper assesses the macroeconomic effects of unconventional monetary policies by estimating a panel vector autoregression (VAR) with monthly data from eight advanced economies over a sample spanning the period since the onset of the global financial crisis. It finds that an exogenous increase in central bank balance sheets at the zero lower bound leads to a temporary rise in economic activity and consumer prices. The estimated output effects turn out to be qualitatively similar to the ones found in the literature on the effects of conventional monetary policy, while the impact on the price level is weaker and less persistent. Individual country results suggest that there are no major differences in the macroeconomic effects of unconventional monetary policies across countries, despite the heterogeneity of the measures that were taken.