Working Paper: CEPR ID: DP10856
Authors: Kristina Bluwstein; Fabio Canova
Abstract: The effects that European Central Bank unconventional monetary policy measures have on nine European countries not adopting the Euro are examined with a novel Bayesian mixed frequency Structural Vector Autoregressive technique. The technique accounts for the fact that macro, monetary and financial data have different frequencies. Unconventional monetary policy disturbances generate important domestic fluctuations. The wealth, the risk, and the portfolio rebalancing channels matter for international propagation; the credit channel does not. International spillovers are larger in countries with more advanced financial systems and a larger share of domestic banks. A comparison with conventional monetary policy disturbances and with announcement surprises is provided.
Keywords: Bayesian; Mixed Frequency; SVAR; Financial Spillovers; International Transmission; Unconventional Monetary Policy
JEL Codes: C11; C32; E52; F42; G15
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| ECB UMP measures (F36) | domestic financial market responses (G15) |
| ECB UMP measures (F36) | important macroeconomic fluctuations (E32) |
| UMP shocks (E32) | substantial inflation dynamics (E31) |
| conventional monetary policy disturbances (E49) | output (C67) |
| ECB UMP measures (F36) | inflation (E31) |
| ECB UMP measures (F36) | varying impacts across countries (F69) |
| international transmission of UMP measures (F42) | financial channels (G29) |
| international transmission of UMP measures (F42) | exchange rate channel (F31) |
| wealth, risk, and portfolio rebalancing channels (G11) | transmitting UMP shocks internationally (F42) |