nep-ifn New Economics Papers
on International Finance
Issue of 2017‒01‒01
one paper chosen by
Vimal Balasubramaniam
University of Oxford

  1. Uncovering the heterogeneous effects of ecb unconventional monetary policies across euro area countries By Pablo Burriel; Alessandro Galesi

  1. By: Pablo Burriel (Banco de España); Alessandro Galesi (Banco de España)
    Abstract: We assess the effects of the ECB’s recent unconventional monetary policy measures by estimating a global VAR that exploits panel variation among all euro area economies and explicitly takes into account cross-country interdependencies. Unconventional monetary policy measures have benefi cial effects on activity, credit, infl ation and equity prices, and lead to a depreciation of the exchange rate. Most euro area members benefi t from these measures, but with a substantial degree of heterogeneity. Cross-country spillovers account for a sizable fraction of such dispersion, and substantially amplify effects. Countries with less fragile banking systems benefi t the most from unconventional monetary policy measures. Compared to expansionary conventional monetary policies, unconventional measures are particularly effective in reducing fi rms’ fi nancing costs and boosting credit.
    Keywords: unconventional monetary policy, euro area, GVAR, heterogeneity, spillovers
    JEL: C32 E52 E58
    Date: 2016–12

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