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

Pablo Burriel () and Alessandro Galesi

No 1631, Working Papers from 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.

Keywords: unconventional monetary policy; euro area; GVAR; heterogeneity; spillovers (search for similar items in EconPapers)
JEL-codes: C32 E52 E58 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2016-12
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ifn, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Related works:
Journal Article: Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1631

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