Published Online: Sep 23, 2022
Page range: 79 - 98
Received: Nov 11, 2021
Accepted: Dec 29, 2021
DOI: https://doi.org/10.2478/jcbtp-2022-0024
Keywords
© 2022 Inda Mulaahmetović, published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.
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.