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Macroeconomic effects of unconventional monetary policy in the Eurozone using non-linear models

Author

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  • Dimitrios Louzis

    (Bank of Greece)

Abstract

The present study examines the efficiency of the unconventional monetary policy measures adopted by the Eurosystem during the period 2008 – 2016 in terms of boosting the eurozone’s economy. Empirical investigation, which is based on a time-varying vector autoregressive model, suggests that unconventional monetary policy measures can lead to an increase in both inflation and GDP during the period 2007-2016. However, the effect of an unconventional monetary policy shock has increased significantly with the adoption of the Quantitative Easing policy from the ECB. Overall, the expansion of the assets purchase program and the strong commitment on behalf of the ECB to continue the unconventional monetary policy interventions as long as it is required to achieve the inflation target have contributed decisively to the success of the unconventional monetary policy measures.

Suggested Citation

  • Dimitrios Louzis, 2017. "Macroeconomic effects of unconventional monetary policy in the Eurozone using non-linear models," Economic Bulletin, Bank of Greece, issue 46, pages 7-24, December.
    • Handle: RePEc:bog:econbl:y:2017:i:46:p:7-24
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    File URL: https://www.bankofgreece.gr/Publications/econbull201712.pdf
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    Cited by:

    1. Sofia Anyfantaki & Yannis Caloghirou & Konstantinos Dellis & Aikaterini Karadimitropoulou & Filippos Petroulakis, 2022. "Skills, management practices and technology adoption in Greek manufacturing firms," Economic Bulletin, Bank of Greece, issue 55, pages 7-42, July.
    2. Nikos Ventouris & Georgios Palaiodimos, 2022. "Proposals for the reform of EU fiscal rules," Economic Bulletin, Bank of Greece, issue 55, pages 67-81, July.
    3. Christos Antonopoulos & Sofia Anyfantaki & Theodora Kosma & Evangelia Papapetrou & Filippos Petroulakis & Pavlos Petroulas & Pinelopi Zioutou, 2022. "The Greek Labour market before and after the pandemic: slack tightness and skills mismatch," Economic Bulletin, Bank of Greece, issue 56, pages 45-74, December.
    4. Hiona Balfoussia & Dimitris Papageorgiou, 2018. "Real and financial cycles in the Greek economy," Economic Bulletin, Bank of Greece, issue 47, pages 7-30, July.
    5. Nikolaos Vettas & Alexandros Louka & Konstantinos Peppas & Yakinthi Pountouraki & Michael Vasileiadis, 2022. "Trends in total factor productivity in Greece and its determinants during the period 2005-2019," Economic Bulletin, Bank of Greece, issue 56, pages 7-43, December.

    More about this item

    Keywords

    time-varying parameters; unconventional monetary policy; Eurozone;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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