The Impact of Unconventional Monetary Policy of ECB to Central and Eastern European Countries: A Panel VAR Analysis
|Author:||Mgr. Klára Hálová|
|Year:||2015 - summer|
|Leaders:|| prof. Roman Horváth Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||In this thesis we examine the macroeconomic interactions of unconventional monetary policy introduced
by European Central bank during crisis by estimating a panel vector autoregression. We study impact of
such policies using monthly data from 13 Central and Eastern European countries within seven-year
period from 2008 to 2014. We find a positive reactions of output and prices to expansionary
unconventional monetary policy shock. Our results provide evidence that decrease in shadow policy rate
of ECB leads to rise in output as well as temporary rise in inflation, however, the effect on inflation is
weaker and less persistent. We also find that unconventional monetary policy positively influences
market uncertainty, but we do not find any significant effect on exchange rates. Individual country
estimates suggest that the reaction of exchange rates to non-standard monetary policy shock
significantly vary across countries.