The impact of unconventional monetary policy in the euro area. Structural and scenario analysis from a Bayesian <scp>VAR</scp>

Evgenidis, Anastasios; Papadamou, Stephanos

doi:10.1002/ijfe.2088

Cited by 18 publications

(7 citation statements)

References 71 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Moreira, Chaiboonsri and Chaitip (2015) analyzed how Brazil's monetary policy's credibility was dynamically related to macroeconomic performance in Brazil employing BVAR with the Litterman/Minnesota priors. Finally, Evgenidis and Papadamou (2020) also used a BVAR specification to provide a rich picture of the transmission of unconventional monetary policy shocks in the real sector of the economy such as economic activity and inflation), as well as to shed light on the appropriate policy mix that the central bank could adopt to fulfil its price stability mandate.…”

Section: Methodsmentioning

confidence: 99%

Assessing the effectiveness of the emergency liquidity assistance tool in the euro area

Kostika¹,

Laopodis

2020

Int. J Fin Econ

View full text Add to dashboard Cite

We examine the role and the efficiency of the emergency liquidity assistance (ELA) tool in the Euro area which has been used to confront the contagion in the banking sector and the illiquid financial market conditions. We study four European countries (Belgium, Cyprus, Greece, and Ireland), which have received substantial ELA since the 2008 financial crisis. Through Bayesian VAR models, we seek to determine the effectiveness of national central bank lending, which includes the amount of ELA received by the domestic banking sector, an assessment of the direct effect of ELA on banks' liquidity and lending through deposits thus allowing banks to supply loans. In general, we find that the ELA tool was very effective in alleviating financial strains in these countries' central banks. For the Greek case, in particular, our findings indicate that the ELA was influenced not only from any changes in bank deposits but also from changes in the spread between the 10-year Greek and German government bond yields. Finally, the volume of non-performing loans in Greek banks was declining to capital injections to banks as their capital base was continually being restored through the ELA mechanism.

show abstract

Section: Methodsmentioning

confidence: 99%

Assessing the effectiveness of the emergency liquidity assistance tool in the euro area

Kostika¹,

Laopodis

2020

Int. J Fin Econ

View full text Add to dashboard Cite

show abstract

“…In this paper, we follow Banbura et al ( 2010 ), Blake and Mumtaz ( 2012 ), Evgenidis and Papadamou ( 2021 ) and Evgenidis and Fasianos ( 2021 ) who use a dummy observation prior to achieve Bayesian shrinkage. Intuitively, one can think of dummies in terms of artificial data featuring pseudo-observations for each of the regression coefficients with properties specified by the prior beliefs on the VAR parameters, and blending this with the real data.…”

Section: Data and Empirical Modelsmentioning

confidence: 99%

Monetary policy, financial shocks and economic activity

Evgenidis

Malliaris

2022

Rev Quant Finan Acc

Self Cite

View full text Add to dashboard Cite

This paper contributes to a fuller understanding of macroeconomic outcomes to financial market disturbances and the central bank’s role in financial stability. Our two major contributions are conceptual and econometric. Conceptually, we introduce phases of the business cycle and econometrically we employ Bayesian VARs. We document that a shock that increases credit to non-financial sector leads to a persistent decline in economic activity. In addition, we examine whether the behavior of financial variables is useful in signaling the 2007–2009 recession. The answer is positive as our BVAR generates early warning signals pointing to a sustained slowdown in growth. We propose that the expansion phase of the business cycle can be subdivided into an early and a late expansion. Based on this distinction, we show that if the Fed had raised the policy rate when the economy moved from the early to late expansion, it could have mitigated the severity of the 2007–2009 recession.

show abstract

“…Through this policy, it is expected that there will be a stimulus of people's economic activities. Quantitative easing (QE) policy is used to overcome recessions or economic crises caused by events such as natural disasters, pandemics, wars, or political tragedies in a country (Cochrane, 2020;Dutkowsky & VanHoose, 2020;Evgenidis & Papadamou, 2020;Marios et al, 2020;Masoud et al, 2020).…”

Section: Implementation Of Quantitative Easing (Qe)mentioning

confidence: 99%

Quantitative Easing In Overcoming the Crisis: Criticism ofQeinthe Monetary System Of Capitalism

Et.al¹

2021

TURCOMAT

View full text Add to dashboard Cite

This study aims to describe the form of Quantitative Easing applied by the Central Bank as well as qualitatively measure its benefits and excesses. To obtain a description and know the benefits and excesses in question, the research approach uses a qualitative approach by conducting a literature study of several facts and quantitative easing studies by Bank Indonesia and the Fed from various literature and media inductively relevant theories. This study's findings show that excesses can be detrimental to society, and countries that are shariah are harmful that should be avoided. This research is expected to encourage further research to determine the correlation of Quantitative Easing policy to the resolution of economic crisis and obtain alternative solutions by implementing the Islamic monetary system. The impact of the covid-19 pandemic that continues to this day causes economic shock, the slowing flow of goods commodities, decreased production, and decreased purchasing power of the community. Various policy efforts are carried out through fiscal stimulus as well as support through monetary policy in the form of quantitative easing.

show abstract

The impact of unconventional monetary policy in the euro area. Structural and scenario analysis from a Bayesian VAR

Cited by 18 publications

References 71 publications

Assessing the effectiveness of the emergency liquidity assistance tool in the euro area

Assessing the effectiveness of the emergency liquidity assistance tool in the euro area

Monetary policy, financial shocks and economic activity

Quantitative Easing In Overcoming the Crisis: Criticism ofQeinthe Monetary System Of Capitalism

Contact Info

Product

Resources

About