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How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?

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  • Wojciech Grabowski

    (University of Lodz)

  • Ewa Stawasz-Grabowska

    (University of Lodz)

Abstract

This paper aims to contribute to the growing pool of literature on the spillover effects of the European Central Bank’s (un)conventional monetary policies on the exchange rate, sovereign bond and equity markets of the Czech Republic, Hungary and Poland (CEE-3 countries), which are collectively known as the CEE-3 countries. The study is conducted using daily data from January 2010 to September 2019. Our results indicate that the financial markets of the CEE-3 countries have been strongly influenced by the nonstandard measures enacted by the European Central Bank, particularly those involving purchases of euro-area sovereign debt. The strongest spillover effects were identified for the Securities Markets Program, while the effects from the Outright Monetary Transactions program turned out to be the most durable. At the same time, the financial markets of the CEE-3 countries were found to have been largely unaffected by interest rate changes enacted by the European Central Bank.

Suggested Citation

  • Wojciech Grabowski & Ewa Stawasz-Grabowska, 2021. "How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 43-83, March.
    • Handle: RePEc:spr:eurase:v:11:y:2021:i:1:d:10.1007_s40822-020-00160-3
    DOI: 10.1007/s40822-020-00160-3
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    Cited by:

    1. Grabowski, Wojciech & Janus, Jakub & Stawasz-Grabowska, Ewa, 2023. "The COVID-19 pandemic and financial markets in Central Europe: Macroeconomic measures and international policy spillovers," Emerging Markets Review, Elsevier, vol. 54(C).
    2. Abdullah M. H. Alharbi, 2023. "Oil Shocks, Monetary Policy, and Stock Returns: A Case of Oil-based Economy," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 56-63, November.
    3. Yongseung Han & Myeong Hwan Kim, 2023. "Monetary shocks on the Korean stock index: structural VAR analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 85-102, March.

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    More about this item

    Keywords

    Central and eastern europe; ECB’s monetary policy; Spillover effects; AGDCC-GARCH model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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