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With the ECB's policy rate having reached the zero lower bound, traditional monetary policy tools became ineffective and the ECB was forced to adopt a set of unconventional monetary policy (UMP) measures. This paper examines the effects of the ECB's UMP on inflation expectations in the Euro area as inflation expectations play a key role for achieving the inflation target of below, but close to 2%. Quantifying the impact of UMP is not straightforward, as standard empirical tools such as VAR cannot be applied. Hence, we use the Qual VAR approach pioneered by Dueker (2005) to overcome this problem. We indeed find that UMP leads to a rise in inflation expectations in the short run but that this effect appears to evaporate in the medium term. Our results put some doubt on the common claim that UMP has consistently contributed to a re-anchoring and a stabilisation of inflation expectations at the zero lower bound. Nevertheless, they indicate a rise in medium-term real GDP growth triggered by UMP. Nachdem der Leitzins der EZB die Nulluntergrenze erreicht hatte, wurden die traditionellen geldpolitischen Instrumente wirkungslos und die EZB war gezwungen, eine Reihe von unkonventionellen geldpolitischen Maßnahmen (UMP) zu ergreifen. Dieses Papier untersucht die Auswirkungen der UMP der EZB auf die Inflationserwartungen im Euroraum. Denn die Inflationserwartungen spielen eine Schlüsselrolle bei der Erreichung des Inflationsziels von unter, aber nahe 2 Prozent. Die Quantifizierung der Auswirkungen der unkonventionellen Geldpolitik ist nicht trivial, da standardisierte empirische Instrumente wie die VAR-Analyse nicht ohne Weiteres angewendet werden können. Wir verwenden den von Dueker (2005) entwickelten Qual VAR-Ansatz, um dieses Problem zu lösen. Wir stellen fest, dass die unkonventionelle Geldpolitik zwar kurzfristig zu einem Anstieg der Inflationserwartungen führt. Dies lässt sich jedoch nicht für die mittlere Frist bestätigen. Unsere Ergebnisse stellen die gängige These in Frage, dass die UMP konsequent zu einer Neuverankerung und Stabilisierung der Inflationserwartungen an der Nulluntergrenze beigetragen hat. Dennoch deuten sie auf einen durch die unkonventionelle Geldpolitik ausgelösten Anstieg des mittelfristigen realen BIP-Wachstums hin.

With the Federal Funds rate approaching the zero lower bound, the U.S. Federal Reserve adopted a range of unconventional monetary policy measures known as Quantitative Easing (QE). Quantifying the impact QE has on the real economy, however, is not straightforward as standard tools such as VAR models cannot easily be applied. In this paper we use the Qual VAR model (Dueker, 2005) to combine binary information about QE announcements with an otherwise standard monetary policy VAR. The model filters an unobservable propensity to QE out of the observable data and delivers impulse responses to a QE shocks. In contrast to other empirical approaches, QE is endogenously depending on the business cycle, can easily be studied in terms of unexpected policy shocks and its dynamic effects can be compared to a conventional monetary easing. We show that QE shocks have a large impact on real and nominal interest rates and financial conditions and a smaller impact on real activity.