Spillovers of the ECB's non-standard monetary policy into CESEE economies

Alessio Ciarlone and Andrea Colabella

Revista ESPE - Ensayos Sobre Política Económica, 2016, vol. 34, issue 81, No 15219, 175-190

Abstract: In this paper we provide evidence that ECB's asset purchase programmes spill over into CESEE countries contributing to easing their financial conditions, both in the short- and in the long-term through different transmission channels. In the short run, a selected number of financial variables in CESEE markets appear to respond to the news related to ECB non-standard policies, moving in the expected direction. On a longer-term horizon, we found that that portfolio and banking capital inflows towards CESEE economies were affected by announcements of ECB's asset purchase programmes and actual asset purchases, pointing to the existence of a portfolio rebalancing and a (banking) liquidity channels in the latter case.******En este estudio se encuentra evidencia de que los programas de compra de activos del BCE repercuten en los países de la región de Europa Central, Oriental y Sudoriental (CESEE), de manera que contribuyen a facilitar su situación financiera tanto a corto como a largo plazo por medio de distintos canales de transmisión. A corto plazo, un número reducido de variables financieras en estos mercados CESEE parecen reaccionar a las noticias relacionadas con las políticas no convencionales del BCE y en la dirección esperada. En el horizonte a largo plazo hallamos que los flujos de portafolio y de capitales bancarios hacia las economías CESEE se vieron afectados por los anuncios de los programas de compra de activos y por las compras efectivas de activos del BCE, lo que senala la existencia de un canal de recomposición del portafolio y de un canal de liquidez (bancario) en el segundo caso.

Keywords: Unconventional monetary policy; ECB; Central and Eastern Europe; International spillovers; Event study (search for similar items in EconPapers)
JEL-codes: C32 C33 E52 E58 F21 G15 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (10)

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https://doi.org/10.1016/j.espe.2016.09.001

Related works:
Journal Article: Spillovers of the ECB's non-standard monetary policy into CESEE economies (2016)
Working Paper: Spillovers of the ECB's non-standard monetary policy into CESEE economies (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000107:015219

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