Non-Linearities in International Spillovers of the ECB$^\prime$s Monetary Policy. The Case of Non-ERM II Countries and Anti-Fragmentation Policy

Iones Kelanemer Holban

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Abstract: We investigate the presence of sign and size non-linearities in the impact of the European Central Bank$^\prime$s Anti-Fragmentation Policy on non-ERM II, EU countries. After identifying three orthogonal monetary policy shock using the method of Fanelli and Marsi [2022], we then select an optimal specification and estimate both linear and non linear impulse response functions using local projections (Dufour and Renault [1998], Goncalves et al. [2021]). The choice of non-linear transformations to separate sign and size effects is based on Caravello and Martinez-Bruera [Working Paper, 2024]. Lastly we compare the linear model to the non-linear ones using a battery of Wald tests and find significant evidence of sign non-linearities in the international spillovers of ECB policy.

Date: 2024-06, Revised 2024-07
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2406.19938

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