Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures
by Kristina Bluwsteina and Fabio Canovab
This paper examines the effects of unconventional monetary policy measures by the European Central Bank on nine European countries not adopting the euro with a novel
Bayesian mixed-frequency structural vector autoregressive technique. Unconventional monetary policy disturbances generate important domestic fluctuations. The wealth, the risk,
and the portfolio rebalancing channels matter for international propagation; the credit channel does not. The responses of foreign output and inflation are independent of the exchange
rate regime. International spillovers are larger in countries with more advanced financial systems and a larger share of domestic banks. A comparison with conventional monetary policy
disturbances and with announcement surprises is provided.
JEL Codes: E52, F42, C11, C32, G15.
Full article (PDF, 52 pages, 3200 kb)
Discussion by Klaus Adam
a European University Institute
b BI Norwegian Business School, CAMP, and CEPR