Arbeitspapier

International spillovers of ECB's unconventional monetary policy: The effect on Central and Eastern Europe

We examine how unconventional monetary policy of the European Central Bank influences macroeconomic stability in Central and Eastern European economies. We estimate various panel vector autoregressions using monthly data from 2008-2014. Using the shadow policy rate and central bank assets as measures of unconventional policies, we find that output and prices in Central and Eastern Europe temporarily increase following an expansionary unconventional monetary policy shock by the European Central Bank. Using both impulse responses and variance decompositions, we find that the effect of unconventional policies on output is much stronger than the effect on inflation. In addition, our results provide evidence that unconventional policy tends to reduce market uncertainty and domestic interest rates but that the effect on the real exchange rate is not significant.

Sprache
Englisch

Erschienen in
Series: IOS Working Papers ; No. 351

Klassifikation
Wirtschaft
Monetary Policy
Central Banks and Their Policies
Thema
unconventional monetary policy
ECB
Central and Eastern Europe
panel vector autoregression

Ereignis
Geistige Schöpfung
(wer)
Halova, Klara
Horváth, Roman
Ereignis
Veröffentlichung
(wer)
Institut für Ost- und Südosteuropaforschung (IOS)
(wo)
Regensburg
(wann)
2015

Handle
URN
urn:nbn:de:101:1-201603225140
Letzte Aktualisierung
20.09.2024, 08:23 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Halova, Klara
  • Horváth, Roman
  • Institut für Ost- und Südosteuropaforschung (IOS)

Entstanden

  • 2015

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