Spillover of the ECB's monetary policy outside the euro area: How different is conventional from unconventional policy?

Abstract

The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results of the CNB's research projects as well as the other research activities of both the staff of the CNB and collaborating outside contributors, including invited speakers. The Series aims to present original research contributions relevant to central banks. It is refereed internationally. The referee process is managed by the CNB Research Department. The working papers are circulated to stimulate discussion. The views expressed are those of the authors and do not necessarily reflect the official views of the CNB.

Monetary policy and macroprudential policy: Rivals or teammates?

“…The final indexes are shown in Figure 1. The evolution of the euro area MCI is similar to that obtained by Babecká-Kucharčuková et al (2016). Our estimation, however, extends beyond mid-2014.…”

“…tightening occurs even when the main policy rate is at a historical low, which may point to disrupted monetary transmission (Orphanides, 2012;Babecká-Kucharčuková et al, 2016). Subsequently, in the first three quarters of 2015 we observe an accommodative effect of the expanded asset purchase programme announced in January 2015.…”

“…Later, monetary policy was assumed to be an unobserved variable which might be extracted using a dynamic factor model (see e.g. Babecká-Kucharčuková et al, 2016 Estimated monetary conditions indexes. The final indexes are shown in Figure 1.…”

International spillovers of (un)conventional monetary policy: The effect of the ECB and the US Fed on non-euro EU countries

“…Babecka Kucharcukova et al (2016) construct monetary conditions index for the ECB policy; the index is comprised of both conventional and unconventional monetary policies. Using this monetary conditions index, they examine the effects on inflation and output of several countries outside the euro area (three Central European countries and three non-euro area countries).…”

“…Whereas these measures have been primarily intended to affect the euro area economies, given the high degree of financial and trade integration in the European Union (EU), these measures are likely to have non-negligible spillovers to non-euro EU members. Although analyses of international spillovers of monetary policy have typically focused on the US (e.g., Bauer and Neely, 2014;Chen et al, 2016;Fratzscher et al, 2017;Neely, 2015), the evidence for international spillovers of ECB monetary policy is growing (Babecka Kucharcukova et al, 2016;Hajek and Horvath, 2016;Horvath and Voslarova, 2017;Potjagailo, 2017). Cuaresma et al (2016) find that international monetary policy spillovers typically become more pronounced over time.…”