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The Effects of the ECB’s Unconventional Monetary Policy on the Non-Euro Area EU Member States

Author

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  • Silvia Trifonova
  • Atanas Atanasov
  • Svilen Kolev

Abstract

The paper examines the unconventional monetary policy programs and measures, implemented by the European Central Bank (ECB). The research is focused on covering their effects on the non-Euro Area Member States of the European Union (EU). The main purpose of the paper is to conduct an econometric study on the effects of the ECB’s non-standard measures on the government bond yields of the countries, part of the EU, but outside the Eurozone, through the interest rate channel of the monetary policy transmission mechanism. The study is dedicated to the empirical study on the dynamics and the relations between the key interest rates and the government bond yields of Bulgaria, Denmark, United Kingdom, Poland, Romania, Croatia, Czech Republic and Sweden. The observed period spreads from January 2010 to December 2016, with the use of monthly data. The aggregated results from the constructed econometric models for the non-Euro area EU Member States show that between 95% and 98,5% of the changes in the government bond yield can be explained by the changes in the levels of the Euro Over Night Index Average(EONIA) - an interest rate factor, and by the time – the second factor in the model. The results also show that at EONIA fixed rates the yield on the long-term government bonds can vary from -0,025 percentage points to -0,068 percentage points monthly. Conclusions and proposals are made, concerning the interest rates in the Eurozone and in the EU, in the context of the unconventional monetary policy, conducted by the ECB – one of the world’s major central banks.

Suggested Citation

  • Silvia Trifonova & Atanas Atanasov & Svilen Kolev, 2016. "The Effects of the ECB’s Unconventional Monetary Policy on the Non-Euro Area EU Member States," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 93-112.
    • Handle: RePEc:ers:ijebaa:v:iv:y:2016:i:4:p:93-112
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    References listed on IDEAS

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    1. Peersman, Gert, 2011. "Macroeconomic effects of unconventional monetary policy in the euro area," Working Paper Series 1397, European Central Bank.
    2. Leonardo Gambacorta & Boris Hofmann & Gert Peersman, 2014. "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 615-642, June.
    3. Frederic Lambert & Mr. Kenichi Ueda, 2014. "The Effects of Unconventional Monetary Policies on Bank Soundness," IMF Working Papers 2014/152, International Monetary Fund.
    4. Peersman, Gert, 2011. "Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area," CEPR Discussion Papers 8348, C.E.P.R. Discussion Papers.
    5. Mirela Cristea & Eleftherios Thalassinos, 2016. "Private Pension Plans: An Important Component of the Financial Market," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 110-115.
    6. Gert Peersman, 2012. "Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound," 2012 Meeting Papers 400, Society for Economic Dynamics.
    7. Leonardo Gambacorta & David Marques-Ibanez, 2011. "The bank lending channel: lessons from the crisis [Financial intermediaries and monetary economics]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 26(66), pages 135-182.
    8. Eleftherios I. Thalassinos & Theodoros Stamatopoulos & Pantelis E. Thalassinos, 2015. "The European Sovereign Debt Crisis and the Role of Credit Swaps," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 20, pages 605-639, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Mile Bošnjak & Ivan Novak & Maja Bašiæ, 2019. "Persistence of shocks in CDS returns on Croatian bonds: Quantile autoregression approach," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 759-775.
    2. V. Kolmakov & K. Ekimova & K. Ordov & A. Aliev & N. Tchuykova, 2018. "Monetary Policy Influence on Companies’ Competitiveness through Credit Channel," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 614-623.

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    More about this item

    Keywords

    Unconventional monetary policy; quantitative easing; central banks; negative interest rates; econometric modeling JEL Classification: E40; E52; E58; F30; G15; F42; C5;
    All these keywords.

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • 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
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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