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

Fabio Canova and Kristina Bluwstein

No 10856, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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.

Keywords: Bayesian mixed frequency svar; Financial spillovers; International transmission; Unconventional monetary policy (search for similar items in EconPapers)
JEL-codes: C11 C32 E52 F42 G15 (search for similar items in EconPapers)
Date: 2015-10
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cfn, 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 (40)

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Journal Article: Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures (2016) Downloads
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