ECB Unconventional Monetary Policy: Market Impact and International Spillovers

Fratzscher, Marcel; Duca, Marco Lo; Straub, Roland

doi:10.1057/imfer.2016.5

Cited by 209 publications

(190 citation statements)

References 27 publications

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“…9 The limited decline in global sovereign bond yields may be explained by the already very low yields, in particular in many advanced economies. The finding that lower sovereign yields in the euro area did not generally drag down yields in other advanced economies-including the US-is consistent with the results of existing studies on previous ECB announcements of conventional and unconventional monetary policy measures (see Ehrmann and Fratzscher, 2005;Fratzscher et al, 2014;Rogers et al, 2014).…”

Section: Exchange Rate Effects and Global Financial Market Impactsupporting

confidence: 88%

“…Likewise, the SMP dummy equals unity on 10 May 2010 (introduction of SMP) and 8 August 2011 (re-activation of SMP). The results for the financial market impact of the OMT and SMP announcements are similar to those reported in Fratzscher et al (2014) and Rogers et al (2014). even more than after the EAPP announcement; in contrast, euro area equities did not respond to the SMP announcement.…”

Section: Domestic and Global Impactsupporting

confidence: 79%

“…In order to estimate the impact of the EAPP announcement on 22 January 2015 on global financial markets we consider a standard event-study framework that allows us to control for non-EAPP related market news (see, for example, Fratzscher et al, 2014;Rogers et al, 2014). Specifically, we consider the regression…”

Section: Econometric Modelmentioning

confidence: 99%

“…the Securities Markets Programme (SMP) and the Outright Monetary Transactions (OMT). In particular, Fratzscher et al (2014) consider the global asset price reactions to these ECB unconventional monetary policies, finding that they boosted global equity markets, lowered credit risk among G20 banks and sovereigns, but that they did not lead to international portfolio re-balancing across regions and asset classes. Comparing the impact of unconventional monetary policy measures in the US, the UK, Japan and the euro area, Rogers et al (2014) We find that the ECB's EAPP announcement on 22 January 2015 caused a broad-based depreciation of the euro and a boost in euro area as well as global equity prices, while the impact on bond prices was muted.…”

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confidence: 99%

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Global Financial Market Impact of the Announcement of the ECB's Extended Asset Purchase Programme

Georgiadis¹,

Gräb²

2015

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We estimate the impact of the ECB's announcement of the extended asset purchase programme (EAPP) on 22 January 2015 on global equity prices, bond yields and the euro exchange rate. We find that the EAPP announcement benefited global financial markets by boosting equity prices in the euro area and the rest of the world. At the same time, the EAPP announcement caused a depreciation of the euro vis-à-vis advanced and emerging market economy currencies. Comparing the EAPP to previous ECB announcements of unconventional monetary policies, the main channel of transmission of the EAPP announcement to global financial markets was through signalling-the ECB convincingly conveying to market participants that its future monetary policy stance will remain accommodative-rather than through improving confidence (as was the case for the OMT) or through portfolio re-balancing (as for the SMP). Similarly, in contrast to the OMT and the SMP announcements the signaling channel also played a major role for the domestic financial market impact of the EAPP. Cross-country heterogeneities in the global financial market spillovers from the EAPP announcement were linked to differences in economies' financial openness, exchange rate regime, trade and financial integration with the euro area and their attractiveness for carry trades.

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Section: Exchange Rate Effects and Global Financial Market Impactsupporting

confidence: 88%

Section: Domestic and Global Impactsupporting

confidence: 79%

Section: Econometric Modelmentioning

confidence: 99%

mentioning

confidence: 99%

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Global Financial Market Impact of the Announcement of the ECB's Extended Asset Purchase Programme

Georgiadis¹,

Gräb²

2015

gwp

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“…Gagnon et al (2011) compare the policy steps taken by the Fed with the ones taken by Bank of Japan and the Bank of England. Fratzscher et al (2016) study the international spillovers of the main actions taken by the ECB after the crisis.…”

Section: Introductionmentioning

confidence: 99%

Should Unconventional Monetary Policies Become Conventional?

Quint

Rabanal²

2017

IMF Working Papers

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. at a large scale after short-term policy rates reached their effective lower bound. In this paper, we study if this new set of tools, commonly labeled as unconventional monetary policies (UMP), should still be used when economic conditions and interest rates normalize. We study the optimality of UMP by using an estimated non-linear DSGE model with a banking sector and long-term private and public debt for the United Terms of use: Documents in EconStor mayStates. We find that the benefits of using UMP in normal times are substantial, equivalent to 1.45 percent of consumption. However, the benefits from using UMP are shock-dependent and mostly arise when the economy is hit by financial shocks. When more traditional business cycle shocks (such as supply and demand shocks) hit the economy, the benefits of using UMP are negligible or zero.JEL Codes: C32, E32, E52

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