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Balance Sheet Policies in an Evolving Economy: Some Modelling Advances and Illustrative Simulations, Accessible Data

Figure 1: Differences in Policy Variables Between Simulations with Active and Passive Balance Sheet Policies

Federal funds rate
Percentage points

Quarters Median Bottom of interquartile range Top of interquartile range
-4 0.0000 0.0000 0.0000
-3 0.0000 0.0000 0.0027
-2 0.0033 0.0007 0.0201
-1 0.0250 0.0067 0.0564
0 0.0000 0.0000 0.0000
1 0.0000 0.0000 0.0000
2 0.0000 0.0000 0.0000
3 0.0000 0.0000 0.0000
4 0.0000 0.0000 0.0000
5 0.0000 0.0000 0.0000
6 0.0000 0.0000 0.0000
7 0.0000 0.0000 0.0000
8 0.0000 0.0000 0.0157
9 0.0000 0.0000 0.0985
10 0.0000 0.0000 0.1325
11 0.0000 0.0000 0.1740
12 0.0000 0.0000 0.2084
13 0.0184 0.0000 0.2537
14 0.0685 0.0000 0.2849
15 0.1360 0.0000 0.3312
16 0.1504 0.0000 0.3634
17 0.1828 0.0000 0.3657
18 0.1877 0.0000 0.3996
19 0.2205 0.0000 0.4265
20 0.2283 0.0000 0.4517

Treasury securities holdings
Billions of dollars

Quarters Median Bottom of interquartile range Top of interquartile range
-4.3 0 0 0
-4.0 0 0 0
-3.7 0 0 0
-3.3 0 0 0
-2.0 0 0 0
-2.7 0 0 0
-2.3 0 0 5
-2.0 0 0 9
-1.7 1 0 13
-1.3 0 0 3
-1.0 1 0 5
-0.7 1 0 6
-0.3 98 90 105
0.0 194 176 208
0.3 290 262 312
0.7 378 351 410
1.0 467 438 507
1.3 557 525 606
1.7 648 610 697
2.0 738 695 791
2.3 828 780 884
2.7 918 869 977
3.0 1002 956 1065
3.3 1093 1041 1160
3.7 1177 1120 1252
4.0 1263 1207 1339
4.3 1350 1295 1428
4.7 1435 1369 1516
5.0 1525 1457 1601
5.3 1610 1541 1686
5.7 1694 1582 1777
6.0 1782 1645 1864
6.3 1868 1704 1960
6.7 1956 1733 2043
7.0 2040 1712 2128
7.3 2128 1695 2222
7.7 2205 1679 2306
8.0 2293 1644 2396
8.3 2382 1616 2484
8.7 2433 1577 2576
9.0 2512 1500 2665
9.3 2597 1440 2757
9.7 2594 1424 2841
10.0 2557 1399 2929
10.3 2591 1374 3016
10.7 2659 1361 3101
11.0 2694 1284 3183
11.3 2731 1280 3272
11.7 2724 1233 3347
12.0 2687 1127 3439
12.3 2685 1074 3529
12.7 2655 995 3610
13.0 2561 880 3697
13.3 2523 837 3786
13.7 2509 767 3855
14.0 2419 654 3940
14.3 2396 615 4017
14.7 2353 559 4074
15.0 2318 508 4149
15.3 2327 448 4231
15.7 2297 375 4200
16.0 2253 278 4173
16.3 2244 219 4183
16.7 2215 141 4158
17.0 2141 31 4200
17.3 2122 -23 4168
17.7 2142 -87 4144
18.0 2044 -121 4204
18.3 1979 -133 4244
18.7 1928 -121 4188
19.0 1848 -180 4156
19.3 1841 -183 4098
19.7 1819 -190 4030
20.0 1701 -202 3944
20.3 1630 -208 3926

Term premium effect
Basis points

Quarters Median Bottom of interquartile range Top of interquartile range
-4 0 0 0
-3 0 -29 0
-2 -38 -58 -10
-1 -64 -80 -39
0 -77 -92 -50
1 -80 -98 -56
2 -81 -103 -54
3 -81 -104 -49
4 -84 -107 -48
5 -85 -109 -41
6 -81 -111 -37
7 -81 -116 -34
8 -75 -112 -30
9 -62 -113 -30
10 -60 -112 -29
11 -53 -106 -25
12 -52 -109 -24
13 -53 -108 -22
14 -48 -106 -21
15 -46 -103 -19
16 -43 -98 -18
17 -42 -97 -17
18 -41 -98 -16
19 -40 -88 -16
20 -40 -88 -16

Note: The panels show the median and interquartile range of differences in policy variables between pairs of simulations with active and passive balance sheet policies, holding constant the sequence of economic shocks in each pair. Only simulations in which the economy returns to the ELB within three to five years and an asset purchase program is enacted for at least one year are included. For comparability, the differences are plotted such that period 0 corresponds to the start of the ELB episodes.

Source: Authors’ simulations.

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Figure 2: Differences in Macroeconomic Outcomes Between Simulations with Active and Passive Balance Sheet Policies
Percentage points
Quarters Unemployment rate PCE inflation Output gap Real GDP growth
Median Bottom of interquartile range Top of interquartile range Median Bottom of interquartile range Top of interquartile range Median Bottom of interquartile range Top of interquartile range Median Bottom of interquartile range Top of interquartile range
-4 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
-3 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00 0.00 0.00
-2 0.00 -0.02 0.00 0.01 0.00 0.03 0.00 0.00 0.06 0.00 0.00 0.05
-1 -0.03 -0.07 -0.01 0.04 0.02 0.07 0.08 0.02 0.18 0.06 0.01 0.11
0 -0.09 -0.12 -0.04 0.08 0.05 0.12 0.22 0.10 0.30 0.12 0.06 0.16
1 -0.14 -0.18 -0.10 0.13 0.09 0.17 0.35 0.24 0.45 0.14 0.08 0.18
2 -0.20 -0.24 -0.15 0.17 0.12 0.22 0.49 0.37 0.60 0.13 0.08 0.19
3 -0.26 -0.30 -0.19 0.20 0.14 0.26 0.63 0.45 0.74 0.12 0.06 0.18
4 -0.30 -0.36 -0.21 0.22 0.14 0.30 0.71 0.51 0.89 0.11 0.05 0.17
5 -0.33 -0.42 -0.23 0.24 0.14 0.33 0.79 0.55 1.02 0.10 0.04 0.16
6 -0.38 -0.47 -0.24 0.25 0.14 0.35 0.89 0.56 1.13 0.09 0.03 0.15
7 -0.40 -0.52 -0.25 0.25 0.14 0.37 0.93 0.56 1.23 0.08 0.02 0.14
8 -0.43 -0.57 -0.25 0.26 0.13 0.38 1.00 0.56 1.34 0.07 0.01 0.13
9 -0.45 -0.62 -0.25 0.26 0.13 0.40 1.02 0.55 1.45 0.05 -0.01 0.11
10 -0.45 -0.66 -0.25 0.25 0.13 0.41 1.03 0.54 1.52 0.03 -0.02 0.10
11 -0.45 -0.70 -0.24 0.24 0.13 0.43 0.99 0.51 1.59 0.01 -0.02 0.09
12 -0.43 -0.71 -0.22 0.23 0.13 0.41 0.94 0.45 1.60 0.00 -0.03 0.07
13 -0.43 -0.72 -0.21 0.23 0.13 0.41 0.93 0.44 1.60 -0.01 -0.04 0.07
14 -0.44 -0.74 -0.20 0.23 0.12 0.41 0.91 0.40 1.64 -0.01 -0.04 0.07
15 -0.42 -0.76 -0.18 0.23 0.12 0.42 0.87 0.37 1.65 -0.01 -0.04 0.06
16 -0.40 -0.75 -0.16 0.23 0.12 0.43 0.82 0.33 1.63 -0.01 -0.05 0.05
17 -0.38 -0.78 -0.15 0.23 0.13 0.44 0.77 0.29 1.68 -0.02 -0.05 0.04
18 -0.36 -0.79 -0.13 0.23 0.13 0.43 0.71 0.24 1.65 -0.02 -0.06 0.03
19 -0.34 -0.76 -0.11 0.23 0.13 0.44 0.67 0.20 1.57 -0.02 -0.06 0.04
20 -0.32 -0.74 -0.10 0.23 0.13 0.43 0.60 0.17 1.53 -0.02 -0.06 0.03

Note: The panels show the median and interquartile range of differences in policy variables between pairs of simulations with active and passive balance sheet policies, holding constant the sequence of economic shocks in each pair. Only simulations in which the economy returns to the ELB within three to five years and an asset purchase program is enacted for at least one year are included. For comparability, the differences are plotted such that period 0 corresponds to the start of the ELB episodes.

Source: Authors’ simulations.

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Last Update: February 03, 2023