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

Maria Sole Pagliari

European Economic Review, 2024, vol. 168, issue C

Abstract: This paper assesses the macroeconomic impact of ECB’s unconventional monetary policies (UMPs) in the euro area. We show that: (i) the relevance of the transmission channels has changed over time, with portfolio re-balancing becoming more important than the signalling effect after June 2014; (ii) there exists a substantial heterogeneity in the transmission to core and peripheral economies. By leveraging on these findings, we identify UMP shocks in a time-varying SVAR with “dynamic” restrictions and we quantify the macroeconomic impact of ECB’s measures via counterfactual analyses. We find that, absent those measures between 2014 and 2018, output growth would be on average 0.27 pp lower in peripheral countries, whereas inflation would drop on average by 0.2 pp in core economies.

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)
Date: 2024
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Citations: View citations in EconPapers (1)

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Working Paper: Does one (unconventional) size fit all? Effects of the ECB's unconventional monetary policies on the euro area economies (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001466

DOI: 10.1016/j.euroecorev.2024.104817

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