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Is the ECB unconventional monetary policy effective?

Author

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  • Inês Pereira

    (Erasmus School of Economics)

Abstract

After the financial crisis in 2008, many central banks began to use unconventional monetary policy in order to boost the effective transmission of monetary policy and to provide additional direct monetary stimulus to the economy. This study will make use of an event study to analyse the impact of those unconventional monetary policies implemented by the European Central Bank on nominal and real long-term interest rates. The long-term interest rates being considered are the 10-year government bond yield, the 5 and 10-year corporate bond yield (AAA and BBB) and the 5y5y swap forward rate for the Eurozone. The results show that unconventional monetary policy conducted by the ECB had a significant effect on real and nominal and long-term interest rates. This effect can be more persistent for a specific group of countries during some announcements, namely the 4th of September of 2014 announcement significantly lowered the 10-year government bond yield and BBB 5-year bond yield for Portugal and the remaining PIIGS.

Suggested Citation

  • Inês Pereira, 2016. "Is the ECB unconventional monetary policy effective?," GEE Papers 0061, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Sep 2016.
    • Handle: RePEc:mde:wpaper:0061
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    File URL: https://www.gee.gov.pt/RePEc/WorkingPapers/GEE_PAPERS_61.pdf
    File Function: First version, 2016
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    Citations

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    Cited by:

    1. António Afonso & Nuno Verdial, 2019. "Sovereign debt crisis in Portugal and in Spain," Working Papers REM 2019/0112, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    2. Ambler, Steve & Rumler, Fabio, 2019. "The effectiveness of unconventional monetary policy announcements in the euro area: An event and econometric study," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 48-61.
    3. Liu, Chang & Liu, Yuan & Zhang, Dayong & Xie, Chunping, 2022. "The capital market responses to new energy vehicle (NEV) subsidies: An event study on China," Energy Economics, Elsevier, vol. 105(C).
    4. Mr. Richard Varghese & Ms. Yuanyan S Zhang, 2018. "A New Wave of ECB’s Unconventional Monetary Policies: Domestic Impact and Spillovers," IMF Working Papers 2018/011, International Monetary Fund.

    More about this item

    Keywords

    Inflation expectations; Unconventional monetary policy; European Central Bank; Long-term interest rates; Event study;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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