Do ECB's Monetary Policies Benefit EMEs? A GVAR Analysis on the Global Financial and Sovereign Debt Crises and Postcrises Period
Bibliographic Data
| ID | 21513028 |
|---|---|
| Authors | Andrea Colabella (Directorate General for Economics, Statistics and Research Bank of Italy via Nazionale 91 Rome 00184 Italy, corresponding author) |
| Year | 2021 |
| Volume | 83 |
| Issue | 2 |
| Pages | 472-494 |
| Publication date | 2021-04-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Oxford Bulletin of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0305-9049 • E-ISSN: 1468-0084 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/obes.12403 |
| OpenAlex | W3087903476 |
| Language | EN |
| Citations received | 1 |
| References cited | 28 |
This paper studies the spillover effects of the ECB's monetary policies on non‐euro area countries, using a GVAR methodology, shadow rate for advanced economies (Wu and Xia, 2016) and shock identification through Cholesky decomposition. A euro‐area shadow interest rate hike triggers a broad‐based decline in output abroad, especially in Central, Eastern and South‐Eastern European (CESEE) economies, and a less widespread increase in short‐term interest rates. How countries respond to the shock depends on their characteristics: the spillover effects are transmitted mainly through the trade channel, while the short‐term interest rate channel plays a limited role. Results are robust to different model specifications
Economics · Exchange rate · Financial Integration · Financial market · Interest rate · International economics · Macroeconomics · Monetary economics · Monetary policy · Spillover effect · Global Financial Crisis and Policies · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Finance
| Citations per year | 0.33 |
|---|---|
| Citation span | 2023 - 2023 (1) |
| Highly cited | No |