ECB Spillovers and Domestic Monetary Policy Effectiveness in Small Open Economies

Abstract

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The macroeconomic effects of forward communication

“…It might be the case that movements further out on the yield curve are mainly noise-driven and to a lesser extent reflect changes in expectations. Moreover,Ellen, ter et al (2019) find that spillovers from monetary policy in the euro area are strong for longer maturities in Norway and Sweden.…”

Responses of Swiss bond yields and stock prices to ECB policy surprises

“…Compared with other approaches to estimate ECB policy surprises, e.g., (ter Ellen et al, 2020), the identification mechanism of Altavilla et al (2019) has the advantage of explicitly distinguishing between the two separate steps (press release and subsequent press conference) of the ECB's policy communication. Moreover, this distinction allows for the identification of factors that help researchers to differentiate between the multiple dimensions of the ECB policy communication.…”

The Economic Impact of Yield Curve Compression: Evidence from Euro Area Forward Guidance and Unconventional Monetary Policy

“…High frequency identification methods, using alternative decompositions to the one used in this paper, have been applied to the euro area in the studies ofBrand et al (2010),Jardet and Monks (2014), Ellen et al (2020), and Leombroni et al (2020.…”