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

By Pablo Burriel, A. Galesi. 2016

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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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d26887ca99685f9c1cf5749a19b795d297bf4d5b