International spillovers of ECB’s unconventional monetary policy: the effect on Central Europe

Roman Horváth · Klara Voslarova

55 citations0/0 files storedApplied Economics

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Monetary Policy and Economic Impact Global Financial Crisis and Policies European Monetary and Fiscal Policies

Abstract

We examine how unconventional monetary policy of the European Central Bank (ECB) influences macroeconomic stability in three Central European economies. We estimate various panel vector autoregressions (PVARs) using monthly data from 2008 to 2014. Using the shadow policy rate and central bank assets as measures of unconventional policies, we find that output growth and inflation in Central Europe temporarily increase following an expansionary unconventional monetary policy shock by the ECB. Using both impulse responses and variance decompositions, we find that the effect of unconventional policies on output growth is much stronger than the effect on inflation.

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References

2007Testing for Error Correction in Panel Data*2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound 2006Financial development and dynamic investment behavior: Evidence from panel VAR 2012International Journal of Central Banking 2014The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis 2014Unconventional monetary policy had large international effects 2016On the International Spillovers of US Quantitative Easing 2014International channels of the Fed's unconventional monetary policy

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2018International spillovers of (un)conventional monetary policy: The effect of the ECB and the US Fed on non-euro EU countries 2019International effects of a compression of euro area yield curves 2022A prolonged period of low interest rates in Europe: Unintended consequences 2020Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis 2020The impact of euro Area monetary policy on Central and Eastern Europe

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