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Balance sheet expansionary policies in the Euro Area : macroeconomic impacts and a vulnerable versus non-vulnerable comparison : a Bayesian structural VAR approach
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Autores
Orientador(es)
Resumo(s)
Employing a Bayesian structural vector autoregressive (VAR) model, we estimate the impact
of the European Central Bank’s (ECB) balance sheet expansionary policies (BSEP) on a range
of economic and financial variables including real GDP, inflation, long-term sovereign bond
yields, systemic stress, unemployment, bank loans, and equity markets in the period from
2009:Q1 to 2021:Q4. The main conclusion from this study is that more vulnerable euro area
countries had larger magnitudes in desirable impulse responses to BSEPs shocks. To reach
this conclusion, we estimated the same model for 16 euro area countries and used maximum,
minimum, and cumulative impulse responses to assess the heterogenous responses to BSEPs
across member states. We then attempt to find correlations of impulse responses with measures
of financial and economic vulnerability such as debt-to-GDP ratios, unemployment, GDP per
capita (PPP), and tier 1 bank capital ratios. Our results suggest that the magnitude of the
responses are more pronounced in countries with higher levels of vulnerability. These findings
are akin to theoretical assumptions that suggest that unconventional monetary policies are
most effective in periods of severe systemic stress.
Descrição
Palavras-chave
ECB monetary policy unconventional monetary policy BVAR euro area
Contexto Educativo
Citação
Pereira, Francisco Gomes (2023). "Balance sheet expansionary policies in the Euro Area : macroeconomic impacts and a vulnerable versus non-vulnerable comparison : a Bayesian structural VAR approach". REM Working paper series, nº 0259/2023
Editora
ISEG - REM - Research in Economics and Mathematics