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Spillover Effects from the ECB's Unconventional Monetary Policies: The Case of Denmark, Norway and Sweden

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  • Arthur Korus

Abstract

Using event-study techniques we investigate the impact of ECB’s announcements of nonstandard policy measures on a broad range of financial assets from Denmark, Norway and Sweden. We find evidence that unconventional monetary policy announcements by the ECB resulted in pronounced spillovers to Denmark, Norway and Sweden. In particular, our results suggest that medium- and long-term government bond yields, corporate bond yields and CDS spreads were affected by ECB’s announcements of non-standard policy measures. Our empirical results indicate that the portfolio rebalancing channel played an important role in the transmission of ECB’s non-standard policy measures on mediumand long-term government bonds and corporate bond yields. However, it also seems that declining government bond yields transmitted to decreasing corporate bond yields. Moreover, our results suggest that benchmark stock market indices and exchange rates vis-à -vis the euro were mainly unaffected by ECB’s announcements of unconventional monetary policies. Furthermore, we find pronounced spillover effects from Forward Guidance statements, Securities Markets Programme announcements, and Corporate Sector Purchase Programme announcements on financial assets from Denmark, Norway and Sweden. Though, our results highly depend on the monetary policy surprise measure used in our regressions and the degree of policy anticipationKeywords: Budgetary Policy, Capital Taxation Rate, Consumption Taxation Rate, DSGE Model, Labor Taxation Rate, Wages Rigidity

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  • Arthur Korus, 2019. "Spillover Effects from the ECB's Unconventional Monetary Policies: The Case of Denmark, Norway and Sweden," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 5(1), pages 53-78, January.
  • Handle: RePEc:ate:journl:ajbev5i1-3
    DOI: 10.30958/ajbe.5-1-3
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    Cited by:

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    2. Frederik Neugebauer, 2020. "ECB Announcements and Stock Market Volatility," WHU Working Paper Series - Economics Group 20-02, WHU - Otto Beisheim School of Management.
    3. Gül Huyugüzel Kışla & Y. Gülnur Muradoğlu & A. Özlem Önder, 2022. "Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 277-296, July.
    4. 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.
    5. Neugebauer, Frederik, 2019. "ECB Announcements and Stock Market Volatility," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203554, Verein für Socialpolitik / German Economic Association.

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