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Beggar-thy-neighbor? The international effects of ECB unconventional monetary policy measures

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  • Bluwstein, Kristina
  • Canova, Fabio

Abstract

The effects that European Central Bank unconventional monetary policy measures have on nine European countries not adopting the Euro are examined with a novel Bayesian mixed frequency Structural Vector Autoregressive technique. The technique accounts for the fact that macro, monetary and financial data have different frequencies. Unconventional monetary policy disturbances generate important domestic fluctuations. The wealth, the risk, and the portfolio rebalancing channels matter for international propagation; the credit channel does not. International spillovers are larger in countries with more advanced financial systems and a larger share of domestic banks. A comparison with conventional monetary policy disturbances and with announcement surprises is provided.

Suggested Citation

  • Bluwstein, Kristina & Canova, Fabio, 2015. "Beggar-thy-neighbor? The international effects of ECB unconventional monetary policy measures," CEPR Discussion Papers 10856, C.E.P.R. Discussion Papers.
  • Handle: RePEc:cpr:ceprdp:10856
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    Cited by:

    1. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," Department of Economics Working Paper Series 5554, WU Vienna University of Economics and Business.
    2. Haldane, Andrew & Roberts-Sklar, Matt & Wieladek, Tomasz & Young, Chris, 2016. "QE: the story so far," CEPR Discussion Papers 11691, C.E.P.R. Discussion Papers.
    3. Comunale, Mariarosaria & Kunovac, Davor, 2017. "Exchange rate pass-through in the euro area," Working Paper Series 2003, European Central Bank.
    4. Banerjee, Ryan & Devereux, Michael B. & Lombardo, Giovanni, 2016. "Self-oriented monetary policy, global financial markets and excess volatility of international capital flows," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 275-297.
    5. Carlo Altavilla & Fabio Canova & Matteo Ciccarelli, 2016. "Mending the broken link: heterogeneous bank lending and monetary policy pass-through," Working Papers No 9/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    6. Sona Benecka & Ludmila Fadejeva & Martin Feldkircher, 2018. "Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe," Working Papers 2018/2, Czech National Bank, Research Department.
    7. Moder, Isabella, 2017. "Spillovers from the ECB's non-standard monetary policy measures on south-eastern Europe," Working Paper Series 2095, European Central Bank.
    8. Alessio Ciarlone & Andrea Colabella, 2016. "Spillovers of the ECB's non-standard monetary policy into CESEE economies," Revista Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 34(81), pages 175-190, December.
    9. Budnik, Katarzyna & Bochmann, Paul, 2017. "Capital and liquidity buffers and the resilience of the banking system in the euro area," Working Paper Series 2120, European Central Bank.
    10. HOHBERGER, Stefan; PRIFTIS, Romanos; VOGEL, Lukas, 2017. "The macroeconomic effects of quantitative easing in the Euro area : evidence from an estimated DSGE model," Economics Working Papers ECO2017/04, European University Institute.
    11. repec:taf:applec:v:49:y:2017:i:24:p:2352-2364 is not listed on IDEAS
    12. Mariarosaria Comunale & Jonas Striaukas, 2017. "Unconventional monetary policy: interest rates and low inflation: A review of literature and methods," CAMA Working Papers 2017-29, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    13. Potjagailo, Galina, 2016. "Spillover effects from euro area monetary policy across the EU: A factor-augmented VAR approach," Kiel Working Papers 2033, Kiel Institute for the World Economy (IfW).
    14. Jan Hajek & Roman Horvath, 2017. "International Spillovers of (Un)Conventional Monetary Policy: The Effect of the ECB and US Fed on Non-Euro EU Countries," Working Papers IES 2017/22, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
    15. Burriel, Pablo & Galesi, Alessandro, 2018. "Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries," European Economic Review, Elsevier, vol. 101(C), pages 210-229.
    16. Lewis, Vivien & Roth, Markus, 2017. "The financial market effects of the ECB's asset purchase programs," Discussion Papers 23/2017, Deutsche Bundesbank.
    17. Martin Feldkircher Author-Email: martin.feldkircher@oenb.at Author-WorkPlace-Name: Oesterreichische Nationalbank (OeNB) & Thomas Gruber Author-Email: thomas.gruber@oenb.at Author-WorkPlace-Name: Oeste, 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.

    More about this item

    Keywords

    Bayesian Mixed Frequency SVAR; Financial Spillovers; International Transmission; Unconventional Monetary Policy;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • 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
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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