ECB Unconventional Monetary Policy Actions: Market Impact, International Spillovers and Transmission Channels *

Abstract

This paper quantifies the impact of the most important ECB’s non-standard monetary policy measures on asset prices in the euro area and globally. The paper also tests for a number of transmission channels of policies to asset markets, including a portfolio balance channel and different risk channels. The results show that ECB policies were beneficial on impact for asset prices in the euro area and lowered market fragmentation in bond markets. Spillovers to advanced economies and emerging markets included a positive impact on global equity markets and confidence. We show that ECB policies lowered credit risk among banks and sovereigns in the G20 countries, while they did not lead to international portfolio rebalancing across regions and assets.

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