| 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. |