Discussion Paper Details

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Title: Beggar-thy-neighbor? The international effects of ECB unconventional monetary policy measures

Author(s): Kristina Bluwstein and Fabio Canova

Publication Date: October 2015

Keyword(s): Bayesian Mixed Frequency SVAR, Financial Spillovers, International Transmission and Unconventional Monetary Policy

Programme Area(s): International Macroeconomics and Finance and Monetary Economics and Fluctuations

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.

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Bibliographic Reference

Bluwstein, K and Canova, F. 2015. 'Beggar-thy-neighbor? The international effects of ECB unconventional monetary policy measures'. London, Centre for Economic Policy Research.