Deep dive into beggar-thy-neighbour effects of monetary policy spillovers

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F23%3A10252824" target="_blank" >RIV/61989100:27510/23:10252824 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/25840886:_____/23:N0000032

Výsledek na webu

<a href="https://doi.org/10.1556/032.2023.00005" target="_blank" >https://doi.org/10.1556/032.2023.00005</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1556/032.2023.00005" target="_blank" >10.1556/032.2023.00005</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Deep dive into beggar-thy-neighbour effects of monetary policy spillovers

Popis výsledku v původním jazyce

We analyse the effect of the European Central Bank&apos;s (ECB) monetary shock spillover and its impact on the European Union&apos;s 9 countries outside the euro area (EA) between 2000 and 2020. We use the sign-restricted Bayesian VAR model and subsequent interpretation by plotting the impulse-response functions. Moreover, we investigate both conventional and unconventional monetary policies and its international transmission. The spillover of monetary policy is growing with the openness of economies and the ongoing deepening of integration. The output responds to the EA&apos;s monetary shock flexibly and persistently, but there is considerable heterogeneity across countries. We claim that it is essential for central banks outside the EA to monitor and incorporate the ECB&apos;s monetary policy spillover into decision-making processes. In particular, the international transmission of the unconventional monetary policy has a fundamental effect on the development of the price level, thus achieving price stability. In the case of implementing a counter-cyclical policy, it is also necessary to monitor conventional policy. However, there is no need to fight the spillover effect since there is no beggar-thy-neighbour problem, i.e., spillover effect works in the same direction in both domestic and foreign country.

Název v anglickém jazyce

Deep dive into beggar-thy-neighbour effects of monetary policy spillovers

Popis výsledku anglicky

We analyse the effect of the European Central Bank&apos;s (ECB) monetary shock spillover and its impact on the European Union&apos;s 9 countries outside the euro area (EA) between 2000 and 2020. We use the sign-restricted Bayesian VAR model and subsequent interpretation by plotting the impulse-response functions. Moreover, we investigate both conventional and unconventional monetary policies and its international transmission. The spillover of monetary policy is growing with the openness of economies and the ongoing deepening of integration. The output responds to the EA&apos;s monetary shock flexibly and persistently, but there is considerable heterogeneity across countries. We claim that it is essential for central banks outside the EA to monitor and incorporate the ECB&apos;s monetary policy spillover into decision-making processes. In particular, the international transmission of the unconventional monetary policy has a fundamental effect on the development of the price level, thus achieving price stability. In the case of implementing a counter-cyclical policy, it is also necessary to monitor conventional policy. However, there is no need to fight the spillover effect since there is no beggar-thy-neighbour problem, i.e., spillover effect works in the same direction in both domestic and foreign country.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Acta Oeconomica

ISSN

0001-6373

e-ISSN

1588-2659

Svazek periodika

73

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

HU - Maďarsko

Počet stran výsledku

23

Strana od-do

61-83

Kód UT WoS článku

000967582800004

EID výsledku v databázi Scopus

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