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International spillovers of ECB’s unconventional monetary policy: the effect on Central Europe

Roman Horvath and Klara Voslarova

Applied Economics, 2017, vol. 49, issue 24, 2352-2364

Abstract: We examine how unconventional monetary policy of the European Central Bank (ECB) influences macroeconomic stability in three Central European economies. We estimate various panel vector autoregressions (PVARs) using monthly data from 2008 to 2014. Using the shadow policy rate and central bank assets as measures of unconventional policies, we find that output growth and inflation in Central Europe temporarily increase following an expansionary unconventional monetary policy shock by the ECB. Using both impulse responses and variance decompositions, we find that the effect of unconventional policies on output growth is much stronger than the effect on inflation.

Date: 2017
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