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On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty

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  • Hauzenberger, Niko
  • Pfarrhofer, Michael
  • Stelzer, Anna

Abstract

In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank policy, we rely on high-frequency surprises in financial market data for the euro area (EA) around policy announcement dates. We trace the dynamic effects of shocks to the short-term policy rate, forward guidance and quantitative easing on several key macroeconomic and financial quantities alongside survey-based measures of expectations. For this purpose, we propose a Bayesian smooth-transition vector autoregression (ST-VAR), using a measure of economic policy uncertainty as signal variable. Our results suggest that transmission channels are impaired when uncertainty is elevated. While conventional monetary policy and forward guidance can be less effective during such periods, quantitative easing measures seem to work comparatively well in uncertain times.

Suggested Citation

  • Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
    • Handle: RePEc:eee:jeborg:v:191:y:2021:i:c:p:822-845
    DOI: 10.1016/j.jebo.2021.09.041
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    2. Laine, Olli-Matti, 2022. "Evidence about the transmission of monetary policy," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number e53, July.
    3. Roben Kloosterman & Dennis Bonam & Koen van der Veer, 2022. "The effects of monetary policy across fiscal regimes," Working Papers 755, DNB.
    4. Andrejs Zlobins, 2022. "Into the Universe of Unconventional Monetary Policy: State-dependence, Interaction and Complementarities," Working Papers 2022/05, Latvijas Banka.
    5. Gabriel Caldas Montes & Igor Mendes Marcelino, 2023. "Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 937-956, July.
    6. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    7. Morita, Hiroshi & Yuasa, Shiro, 2022. "Nonlinear Effects of Uncertainty Shocks : State-dependency and Asymmetry," RCESR Discussion Paper Series DP22-6, Research Center for Economic and Social Risks, Institute of Economic Research, Hitotsubashi University.

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    More about this item

    Keywords

    Euro area; Monetary policy; Bayesian smooth-transition vector autoregression; Hierarchical global-local shrinkage;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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