The unconventional monetary policy of the European Central Bank: Effectiveness and transmission analysis
| Autor: | José A. Zabala, María A. Prats |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
050208 finance media_common.quotation_subject 05 social sciences Monetary policy Monetary economics Interest rate Eonia Accounting Quantitative easing 0502 economics and business Political Science and International Relations Financial crisis Economics Balance sheet 050207 economics Price of stability Robustness (economics) Finance media_common |
| Zdroj: | The World Economy. 43:794-809 |
| ISSN: | 1467-9701 0378-5920 |
| Popis: | Since the beginning of the financial crisis in summer 2007, the European Central Bank (ECB) has redirected traditional monetary policy, based on interest rates, to an unconventional monetary policy focused on the quantitative expansion of its balance sheet. In this context, the present paper aims to assess the effectiveness of unconventional monetary policy instruments with regard to inflation and economic growth. To this end, the methodology is based on the estimation of a structural vector autoregressive model for the period 2007:Q1–2018:Q4, using four variables: EONIA, the total amount of assets on the ECB's balance sheet, the Eurozone inflation rate and the Eurozone economic growth rate. The results show a slight impact of the different balance sheet policies on inflation and economic activity behaviour, especially during the last year of the financial crisis. The robustness of these results is supported by the estimation of the same model replacing EONIA rates with shadow rates. Therefore, the results support the existence of monetary transmission for the period during which the unconventional monetary policy was developed as well as the effectiveness of the monetary policy adopted by the ECB in its commitment to price stability. |
| Databáze: | OpenAIRE |
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