Artikel
Country-level effects of the ECB's expanded asset purchase programme
This paper evaluates the macroeconomic effects of the European Central Bank's (ECB) Expanded asset purchase programme (APP) on Latvia and other euro area jurisdictions and investigates the cross-border transmission mechanism. To that end, we employ two different vector autoregressive (VAR) models, namely a bilateral structural VAR with block exogeneity (BSVAR-BE) and a multi-country mixed cross-section global VAR with stochastic volatility (MCS-BGVAR-SV). We find that the APP had a limited and weakly significant impact on Latvia's output while the effect on inflation has been robust due to depreciation of the euro. Regarding other jurisdictions, results suggest that the ECB's asset purchases had a larger impact on industrial production in the countries where it drove down long-term interest rates the most via portfolio rebalancing channel. Despite that, our evidence suggests that the APP was mainly transmitted to inflation via exchange rate depreciation rather than through aggregate demand-driven shifts in the Phillips curve.
- Sprache
-
Englisch
- Erschienen in
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Journal: Baltic Journal of Economics ; ISSN: 2334-4385 ; Volume: 20 ; Year: 2020 ; Issue: 2 ; Pages: 187-217 ; London: Taylor & Francis
- Klassifikation
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Wirtschaft
Quantitative Policy Modeling
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Central Banks and Their Policies
International Policy Coordination and Transmission
- Thema
-
Asset purchase programme
Bayesian estimation
euro area
GVAR
quantitative easing
SVAR
- Ereignis
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Geistige Schöpfung
- (wer)
-
Zlobins, Andrejs
- Ereignis
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Veröffentlichung
- (wer)
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Taylor & Francis
- (wo)
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London
- (wann)
-
2020
- DOI
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doi:10.1080/1406099X.2020.1813964
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Zlobins, Andrejs
- Taylor & Francis
Entstanden
- 2020
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