International spillovers of (un)conventional monetary policy: The effect of the ECB and the US Fed on non-euro EU countries
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10372218" target="_blank" >RIV/00216208:11230/18:10372218 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.ecosys.2017.10.001" target="_blank" >http://dx.doi.org/10.1016/j.ecosys.2017.10.001</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ecosys.2017.10.001" target="_blank" >10.1016/j.ecosys.2017.10.001</a>
Alternative languages
Result language
angličtina
Original language name
International spillovers of (un)conventional monetary policy: The effect of the ECB and the US Fed on non-euro EU countries
Original language description
We estimate a global vector autoregression model to examine the effects of euro area and US monetary policy stances, together with the effect of euro area consumer prices, on economic activity and prices in non-euro EU countries using monthly data from 2001-2016. Along with some standard macroeconomic variables, our model contains measures of the shadow monetary policy rate to address the zero lower bound and the implementation of unconventional monetary policy by the European Central Bank and the US Federal Reserve. We find that these monetary shocks have the expected qualitative effects but their magnitude differs across countries, with southeastern EU economies being less affected than their peers in Central Europe. Euro area monetary shocks have a greater effect than those that emanate from the US. We also find certain evidence that the effects of unconventional monetary policy measures are weaker than those of conventional measures. The spillovers of euro area price shocks to non-euro EU countries are limited, suggesting that the law of one price materializes slowly.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Economic Systems
ISSN
0939-3625
e-ISSN
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Volume of the periodical
42
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
15
Pages from-to
91-105
UT code for WoS article
000428606800008
EID of the result in the Scopus database
2-s2.0-85042202386