The effectiveness of the ECB’s unconventional monetary policy: Comparative evidence from crisis and non-crisis Euro-area countries

Jäger, Jannik; Grigoriadis, Theocharis

doi:10.1016/j.jimonfin.2017.07.021

Cited by 42 publications

(16 citation statements)

References 23 publications

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“…, Afonso et al (2018) show that following Mario Draghi's statement in July 2012 there is a regime shift in connection with the pricing of European sovereign bonds. The e↵ectiveness of unconventional ECB policies such as the Outright Monetary Transactions (OMT ) -announced in September 2012 -is also reported by authors such asJäger and Grigoriadis (2017) andRoch and Uhlig (2018).…”

mentioning

confidence: 87%

EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness

Chatziantoniou

Gabauer

2021

The Quarterly Review of Economics and Finance

156

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This study employs dynamic connectedness as a measure of financial risk synchronization considering government bond yields in 11 EMU member states. In particular, large values of the relevant index can be an indication of comparable levels of risk further implying that the common currency area consists of a financially sensible set of countries. By contrast, small connectedness values can be an indication of fragmentation whereupon certain countries are considered to be safer than others. The latter would be detrimental for the EMU as it fuels financial fragility, which practically stipulates that crises occur as a result of self-fulfilling market fears. The results are based on a daily dataset which spans between 1st September 2003 and 31st August 2018. Findings show that fragmentation was present at the height of the European sovereign debt crisis and that the interconnectedness has not yet reverted to its pre-2009 levels. In addition, core countries appear to transmit shocks to periphery countries although, occasionally, there are noteworthy disparities. Further investigating these disparities on a pairwise connectedness level -which helps to identify sensible pairs of countries in terms of financial risk -shows that core countries dominate this exercise, with the exception of the bilateral relation between Italy and Spain. The fact that most periphery countries of our sample are not included in these pairs raises concerns and calls for a more substantial integration.

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mentioning

confidence: 87%

EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness

Chatziantoniou

Gabauer

2021

The Quarterly Review of Economics and Finance

156

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“…They discovered, inter alia, that the impact of ECB policy changes on the portfolios, constructed on the basis of momentum, is time-variant and differs across the crisis and non-crisis periods. Jäger and Grigoriadis (2017) examined the effectiveness of the ECB's unconventional monetary policy through a comparative analysis between crisis and non-crisis for a sample of 11 Euroarea countries. By calculating pooled OLS estimations for the period from 2007 to 2013, they manifested a significantly negative, reducing effect on the sovereign bond yield spreads for the Eurozone countries.…”

Section: Qe Influence On Capital Marketsmentioning

confidence: 99%

Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries

Mészáros

Kiss

2020

Review of Economic Perspectives

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AbstractThe transmission mechanism has been dominated by direct monetary measures since the crisis of 2008. While the indirect impacts of the unconventional monetary instruments have not been fully explored yet. Monetary policy and funding conditions determine pricing sentiments for bond, stock and currency markets, represented by the volatilities of their main indicators: stock market indices, exchange rates, and yield premia. Our theoretical model takes spillover effects into account when it determines the variables which are responsible for volatility: the activities of international financial institutions (like the ESM or the IMF) are represented by dummy variables, while the limited autonomy in the shadow of the ECB is captured through gravity-like approaches. Six EU member states outside the Eurozone and Switzerland were analysed between 2007 and 2019 with random effect panel regression models to identify the differences in the impact of spillover effects on capital market volatilities. The results obtained are considered to be useful in mapping the potential effects of continuing monetary easing in the near future.

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“…The European Central Bank (ECB) main role is to ensure price stability but without prejudice contribute to the achievement of the economic objectives of the EU (Consolidated Version of the Treaty on the Functioning of the European Union, 2016), which are full employment and balanced economic growth (Consolidated version of the Treaty on European Union, 2016). To comply with his mandate, the ECB possesses the following "standard" instruments of monetary policy (Jäger & Grigoriadis, 2017;Pereira, 2016):…”

Section: Unconventional Monetary Policymentioning

confidence: 99%

“…The unconventional monetary policy adopted by the ECB had a decisive impact in managing the sovereign debt crisis, effectively reducing the sovereign bond yields (Falagiarda & Reitz, 2015;Pereira, 2016;Jäger & Grigoriadis, 2017;Afonso & Kazemi, 2018;and Afonso & Jalles, 2019).…”

Section: %mentioning

confidence: 99%

Sovereign Debt Crisis in Portugal and in Spain

Afonso

Verdial²

2019

SSRN Journal

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The 2007-2008 financial crisis and the European sovereign debt crisis effects rippled through the financial system, banks and sovereign states. We analyze these events, focusing on the Portuguese and Spanish case after providing an insight into the Eurozone. We assessed the pricing of sovereign risk by performing an OLS/2SLS fixed effects panel analysis on a pool of Eurozone countries and a SUR regression with Portugal and Spain covering the period 1999:11 until 2019:6. Our results show that the pricing of sovereign risk changed with the crisis and the "whatever it takes" speech of Mario Draghi. Specifically, market pricing of the Eurozone credit risk, liquidity risk and the risk appetite increased after the crisis and it relaxed afterwards. We did not find evidence of specific pricing regime changes after the speech in the Portuguese and Spanish case.

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The effectiveness of the ECB’s unconventional monetary policy: Comparative evidence from crisis and non-crisis Euro-area countries

Cited by 42 publications

References 23 publications

EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness

EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness

Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries

Sovereign Debt Crisis in Portugal and in Spain

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