Unconventional Monetary Policy, Fiscal Side Effects and Euro Area (Im)balances

Michael Hachula, Malte Rieth () and Michele Piffer

VfS Annual Conference 2016 (Augsburg): Demographic Change from Verein für Socialpolitik / German Economic Association

Abstract: We study the effects and transmission channels of non-standard monetary policy in the euro area using structural vector autoregressions, identified with an external instrument. The instrument is the common component of unexpected variations in euro area sovereign yields vis-à-vis Germany for different maturities on policy announcement days. We find that expansionary monetary surprises are effective in stimulating economic activity, prices and inflation expectations. Shock transmission functions through public and private interest rates, asset prices and credit conditions. The policy innovations, however, also lead to a rise in primary public expenditures, a divergence of relative prices within the union and a widening of internal trade balances.

JEL-codes: E52 E58 E63 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Related works:
Journal Article: Unconventional Monetary Policy, Fiscal Side Effects, and Euro Area (Im)balances (2020)
Journal Article: Unconventional Monetary Policy, Fiscal Side Effects and Euro Area (Im)balances (2020)
Working Paper: Unconventional Monetary Policy, Fiscal Side Effects and Euro Area (Im)balances (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc16:145790

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