Spillover of the ECB's Monetary Policy Outside the Euro Area: How Different is Conventional From Unconventional Policy?
Peter Claeys () and
Bořek Vašíček ()
Working Papers from Czech National Bank
This paper studies the macroeconomic impact of ECB policy on the euro area and six non-EMU countries. The analysis is based on the evolution of a synthetic index of overall euro area monetary conditions (MCI) that can be decomposed into conventional and unconventional policy measures. A standard monetary VAR including the MCI subcomponents shows that the transmission of unconventional monetary policy in the euro area is quite different than under conventional policy: prices react quickly, but the response of output (industrial production) is muted. A block-restricted VAR analysis confirms that euro area monetary policy spills over to the macroeconomic developments of non-EMU countries. While conventional monetary policy has a generalised effect on economic activity, exchange rates and prices, unconventional measures have generated a variety of responses. Exchange rates respond rather quickly, but an effect on the real economy is found only for some countries, and inflation remains largely unaffected.
Keywords: ECB; monetary policy; synthetic indicator; unconventional measures; VAR (search for similar items in EconPapers)
JEL-codes: E58 F42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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Journal Article: Spillover of the ECB's monetary policy outside the euro area: How different is conventional from unconventional policy? (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2014/15
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