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Uncovering the heterogeneous effects of ecb unconventional monetary policies across euro area countries

Author

Listed:
  • Pablo Burriel

    () (Banco de España)

  • Alessandro Galesi

    () (Banco de España)

Abstract

We assess the effects of the ECB’s recent unconventional monetary policy measures by estimating a global VAR that exploits panel variation among all euro area economies and explicitly takes into account cross-country interdependencies. Unconventional monetary policy measures have benefi cial effects on activity, credit, infl ation and equity prices, and lead to a depreciation of the exchange rate. Most euro area members benefi t from these measures, but with a substantial degree of heterogeneity. Cross-country spillovers account for a sizable fraction of such dispersion, and substantially amplify effects. Countries with less fragile banking systems benefi t the most from unconventional monetary policy measures. Compared to expansionary conventional monetary policies, unconventional measures are particularly effective in reducing fi rms’ fi nancing costs and boosting credit.

Suggested Citation

  • Pablo Burriel & Alessandro Galesi, 2016. "Uncovering the heterogeneous effects of ecb unconventional monetary policies across euro area countries," Working Papers 1631, Banco de España;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:1631
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    References listed on IDEAS

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    Cited by:

    1. Martin Feldkircher & Thomas Gruber & Florian Huber, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," Department of Economics Working Papers wuwp248, Vienna University of Economics and Business, Department of Economics.
    2. Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with sign restrictions not identify unconventional monetary policy shocks?," Working Papers 1926, Banco de España;Working Papers Homepage.
    3. Victor Echevarria Icaza & Simón Sosvilla-Rivero, 2017. "Yields on sovereign debt, fragmentation and monetary policy transmission in the euro area: A GVAR approach," Working Papers 17-01, Asociación Española de Economía y Finanzas Internacionales.
    4. repec:cnb:ocpubv:as18 is not listed on IDEAS
    5. Andrea Colabella, 2019. "Do the ECB’s monetary policies benefit emerging market economies? A GVAR analysis on the crisis and post-crisis period," Temi di discussione (Economic working papers) 1207, Bank of Italy, Economic Research and International Relations Area.
    6. Destefanis, Sergio & Fragetta, Matteo & Gasteiger, Emanuel, 2019. "Does one size fit all in the Euro Area? Some counterfactual evidence," ECON WPS - Vienna University of Technology Working Papers in Economic Theory and Policy 05/2019, Vienna University of Technology, Institute for Mathematical Methods in Economics, Research Group Economics (ECON).
    7. Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Working Papers in Economics 2018-6, University of Salzburg.
    8. repec:ijc:ijcjou:y:2019:q:4:a:4 is not listed on IDEAS
    9. Sona Benecka & Ludmila Fadejeva & Martin Feldkircher, 2018. "Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe," Working Papers 2018/04, Latvijas Banka.
    10. Isabella Moder, 2019. "Spillovers from the ECB's Non-standard Monetary Policy Measures on Southeastern Europe," International Journal of Central Banking, International Journal of Central Banking, vol. 15(4), pages 127-163, October.
    11. Adam Elbourne & Kan Ji, 2019. "Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?," CPB Discussion Paper 391, CPB Netherlands Bureau for Economic Policy Analysis.
    12. Martin Guth, 2018. "Heterogeneous Effects of Unconventional Monetary Policy on Loan Demand and Supply. Insights from the Bank Lending Survey," Papers 1807.04161, arXiv.org.
    13. Lucas Hafemann & Peter Tillmann, 2017. "The aggregate and country-speci c e ectiveness of ECB policy: evidence from an external instruments (VAR) approach," MAGKS Papers on Economics 201720, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    14. Adam Elbourne & Kan Ji & Sem Duijndam, 2018. "The effects of unconventional monetary policy in the euro area," CPB Discussion Paper 371, CPB Netherlands Bureau for Economic Policy Analysis.
    15. Pietro Grandi, 2018. "Sovereign risk and cross-country heterogeneity in the transmission of monetary policy to bank lending in the euro area," Working Papers hal-01878602, HAL.
    16. repec:liu:liucej:v:14:y:2017:i:2:p:157-160 is not listed on IDEAS
    17. Bernard Michael Gilroy & Alexander Golderbein & Christian Peitz & Nico Stöckmann, 2018. "Incentives for the finance sector: How the ECB affects banks' business assembling," Working Papers CIE 116, Paderborn University, CIE Center for International Economics.
    18. Lucas Hafemann & Peter Tillmann, 2017. "The Aggregate and Country-Specific Effectiveness of ECB Policy: Evidence from an External Instruments (VAR) Approach," European Economy - Discussion Papers 2015 - 063, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.

    More about this item

    Keywords

    unconventional monetary policy; euro area; GVAR; heterogeneity; spillovers;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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