Arbeitspapier

Macroeconomic effects of unconventional monetary policy in the euro area

I find that the Eurosystem can stimulate the economy beyond the policy rate by increasing the size of its balance sheet or the monetary base. The transmission mechanism turns out to be different compared to traditional interest rate innovations: (i) whilst the effects on economic activity and consumer prices reach a peak after about one year for an interest rate innovation, this is more than six months later for a shift in the monetary base that is orthogonal to the policy rate (ii) interest rate spreads charged by banks decline persistently after a rise in the monetary base, whereas the spreads increase significantly after a fall in the policy rate (iii) there is no significant short-run liquidity effect after an interest rate innovation, that is additional bank loans are generated by a greater credit multiplier. In contrast, the multiplier declines considerably after an expansion of the Eurosystem’s balance sheet.

Language
Englisch

Bibliographic citation
Series: ECB Working Paper ; No. 1397

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Financial Markets and the Macroeconomy
Money Supply; Credit; Money Multipliers
Monetary Policy
Subject
SVARs
Unconventional monetary policy
Geldpolitik
Zinspolitik
Finanzprodukt
Wirkungsanalyse
Eurozone

Event
Geistige Schöpfung
(who)
Peersman, Gert
Event
Veröffentlichung
(who)
European Central Bank (ECB)
(where)
Frankfurt a. M.
(when)
2011

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Peersman, Gert
  • European Central Bank (ECB)

Time of origin

  • 2011

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