Discussion paper

DP10856 Beggar-thy-neighbor? The international effects of ECB unconventional monetary policy measures

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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Citation

Canova, F and K Bluwstein (eds) (2015), “DP10856 Beggar-thy-neighbor? The international effects of ECB unconventional monetary policy measures”, CEPR Press Discussion Paper No. 10856. https://cepr.org/publications/dp10856