Does one (unconventional) size fit all? Effects of the ECB's unconventional monetary policies on the euro area economies

Maria Sole Pagliari

Working papers from Banque de France

Abstract: This paper aims at assessing the macroeconomic impact of unconventional monetary policies (UMPs) that the ECB has put in place in the euro area after the 2007 financial crisis. With this purpose, we first document how the relative importance of the main transmission channels of such measures has changed over time, with the portfolio rebalancing being generally more impactful than the signaling channel after the Whatever it takes speech in July 2012. However, we also provide evidence of a great degree of heterogeneity across core and peripheral economies, as well as over time. We then adopt a time-varying SVAR with stochastic volatility to account for such heterogeneity, by identifying UMP shocks via dynamic sign restrictions. By means of counterfactual experiments, we provide evidence of how a different stance on the part of the ECB would have led to a significantly different economic performance of euro area economies. For instance, if the ECB had not put in place the measures adopted between 2014 and 2017, annual output growth would have been, on average, 0.67 percentage points lower in peripheral countries.

Keywords: : Time-varying Bayesian SVAR; Dynamic Restrictions; Unconventional Monetary policy; Eurozone (search for similar items in EconPapers)
JEL-codes: C11 C32 E43 E52 (search for similar items in EconPapers)
Pages: 73 pages
Date: 2021
New Economics Papers: this item is included in nep-cba, nep-eec, nep-isf, nep-mac, nep-mon and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:829

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