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Spillover effects from Euro area monetary policy across Europe: A factor-augmented VAR approach

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Cited by:

  1. Antonella Cavallo & Antonio Ribba, 2017. "Measuring the Effects of Oil Price and Euro-area Shocks on CEECs Business Cycles," Department of Economics 0111, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
  2. Jackson, Laura E. & Owyang, Michael T. & Zubairy, Sarah, 2018. "Debt and stabilization policy: Evidence from a Euro Area FAVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 67-91.
  3. Hajek, Jan & Horvath, Roman, 2018. "International spillovers of (un)conventional monetary policy: The effect of the ECB and the US Fed on non-euro EU countries," Economic Systems, Elsevier, vol. 42(1), pages 91-105.
  4. Mark Antal & Lorant Kaszab, 2021. "Spillover Effects of the European Central Bank's Expanded Asset Purchase Program to Non-eurozone Countries in Central and Eastern Europe," MNB Occasional Papers 2021/140, Magyar Nemzeti Bank (Central Bank of Hungary).
  5. Kiss, Gábor Dávid & Alipanah, Sabri, 2024. "Sovereign spread divergence owing to inflation and redenomination risk countered by unconventional monetary policy in the Eurozone," Economic Modelling, Elsevier, vol. 131(C).
  6. Wojciech Grabowski & Ewa Stawasz-Grabowska, 2021. "How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 43-83, March.
  7. Ca' Zorzi, Michele & Dedola, Luca & Georgiadis, Georgios & Jarociński, Marek & Stracca, Livio & Strasser, Georg, 2020. "Monetary policy and its transmission in a globalised world," Working Paper Series 2407, European Central Bank.
  8. Sona Benecka & Ludmila Fadejeva & Martin Feldkircher, 2018. "Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe," Working Papers 2018/04, Latvijas Banka.
  9. Aleksandra Fedajev & Danijela Pantović & Isidora Milošević & Tamara Vesić & Aleksandra Jovanović & Magdalena Radulescu & Maria Cristina Stefan, 2023. "Evaluating the Outcomes of Monetary and Fiscal Policies in the EU in Times of Crisis: A PLS-SEM Approach," Sustainability, MDPI, vol. 15(11), pages 1-14, May.
  10. Magdalena Grothe, 2023. "Monetary Policy Spillovers to Polish Financial Markets," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 2, pages 1-10.
  11. Walerych, Małgorzata & Wesołowski, Grzegorz, 2021. "Fed and ECB monetary policy spillovers to Emerging Market Economies," Journal of Macroeconomics, Elsevier, vol. 70(C).
  12. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
  13. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
  14. Walerych, Małgorzata & Wesołowski, Grzegorz, 2020. "When the Fed sneezes, the whole world catches the cold, when the ECB - only Europe," MPRA Paper 100899, University Library of Munich, Germany.
  15. Koráb, Petr & Saadaoui Mallek, Ray & Dibooglu, Sel, 2021. "Effects of quantitative easing on firm performance in the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  16. Shahriyar Aliyev & Evžen Kočenda, 2023. "ECB monetary policy and commodity prices," Review of International Economics, Wiley Blackwell, vol. 31(1), pages 274-304, February.
  17. Glocker, Christian & Url, Thomas, 2022. "Financial sector rescue programs: Domestic and cross border effects," Journal of International Money and Finance, Elsevier, vol. 127(C).
  18. Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.
  19. Stephanos Papadamou & Nikolaos A. Kyriazis & Panayiotis G. Tzeremes, 2019. "Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices," JRFM, MDPI, vol. 12(2), pages 1-20, April.
  20. El-Shagi, Makram & Tochkov, Kiril, 2022. "Shadow of the colossus: Euro area spillovers and monetary policy in Central and Eastern Europe," Journal of International Money and Finance, Elsevier, vol. 120(C).
  21. ter Ellen, Saskia & Jansen, Edvard & Midthjell, Nina Larsson, 2020. "ECB Spillovers and domestic monetary policy effectiveness in small open economies," European Economic Review, Elsevier, vol. 121(C).
  22. Ozgur, Onder & Aydin, Levent & Karagol, Erdal Tanas & Ozbugday, Fatih Cemil, 2021. "The fuel price pass-through in Turkey: The case study of motor fuel price subsidy system," Energy, Elsevier, vol. 226(C).
  23. Cavallo, Antonella & Ribba, Antonio, 2018. "Measuring the effects of oil price and Euro-area shocks on CEECs business cycles," Journal of Policy Modeling, Elsevier, vol. 40(1), pages 74-96.
  24. Deskar-Škrbić, Milan & Kotarac, Karlo & Kunovac, Davor, 2020. "The third round of euro area enlargement: Are the candidates ready?," Journal of International Money and Finance, Elsevier, vol. 107(C).
  25. Ni, Jianhui & Ruan, Jia, 2024. "Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  26. Zens, Gregor & Böck, Maximilian & Zörner, Thomas O., 2020. "The heterogeneous impact of monetary policy on the US labor market," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
  27. Geis, André & Moder, Isabella & Schuler, Tobias, 2020. "Who’s afraid of euro area monetary tightening? CESEE shouldn’t," Working Paper Series 2416, European Central Bank.
  28. Onder Ozgur & Erdal Tanas Karagol & Fatih Cemil Ozbugday, 2021. "Machine learning approach to drivers of bank lending: evidence from an emerging economy," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-29, December.
  29. Antal, Mark & Kaszab, Lorant, 2022. "Spillovers from the European Central Bank's asset purchases to countries in Central and Eastern Europe," Economic Modelling, Elsevier, vol. 113(C).
  30. Md. Rashedur Rahman Sardar & Matthew Schaffer, 2024. "International monetary spillovers to frontier financial markets: Evidence from Bangladesh," International Finance, Wiley Blackwell, vol. 27(1), pages 81-100, April.
  31. Guo, Sui & Li, Huajiao & An, Haizhong & Sun, Qingru & Hao, Xiaoqing & Liu, Yanxin, 2019. "Steel product prices transmission activities in the midstream industrial chain and global markets," Resources Policy, Elsevier, vol. 60(C), pages 56-71.
  32. Andrea Colabella, 2019. "Do the ECB’s monetary policies benefit emerging market economies? A GVAR analysis on the crisis and post-crisis period," Temi di discussione (Economic working papers) 1207, Bank of Italy, Economic Research and International Relations Area.
  33. Bacchiocchi, Emanuele & Dragomirescu-Gaina, Catalin, 2024. "Uncertainty spill-overs: When policy and financial realms overlap," Journal of International Money and Finance, Elsevier, vol. 143(C).
  34. Isabella Moder, 2019. "Spillovers from the ECB's Non-standard Monetary Policy Measures on Southeastern Europe," International Journal of Central Banking, International Journal of Central Banking, vol. 15(4), pages 127-163, October.
  35. Coman, Andra, 2023. "Monetary policy spillovers and the role of prudential policies in the European Union," Working Paper Series 2854, European Central Bank.
  36. Dr. Thomas Nitschka & Diego M. Hager, 2022. "Responses of Swiss bond yields and stock prices to ECB policy surprises," Working Papers 2022-08, Swiss National Bank.
  37. Brum-Civelli, Conrado & Garcia-Hiernaux, Alfredo, 2023. "An indicator of monetary bias for emerging and partially dollarized economies: The case of Uruguay," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 206-219.
  38. Sardar, Rashedur & Schaffer, Matthew, 2022. "International Monetary Spillovers to Frontier Financial Markets: Evidence from Bangladesh," UNCG Economics Working Papers 22-5, University of North Carolina at Greensboro, Department of Economics.
  39. Hager, Diego & Nitschka, Thomas, 2022. "The Impact of COVID-19 and other Crises on the Responses of Swiss Bond Yields and Stock Prices to ECB Policy Surprises," VfS Annual Conference 2022 (Basel): Big Data in Economics 264018, Verein für Socialpolitik / German Economic Association.
  40. Franz, Thorsten, 2020. "Central bank information shocks and exchange rates," Discussion Papers 13/2020, Deutsche Bundesbank.
  41. Ouerk, Salima & Boucher, Christophe & Lubochinsky, Catherine, 2020. "Unconventional monetary policy in the Euro Area: Shadow rate and light effets," Journal of Macroeconomics, Elsevier, vol. 65(C).
  42. Aymeric Ortmans, 2020. "Evolving Monetary Policy in the Aftermath of the Great Recession," Documents de recherche 20-01, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  43. Nicolae-Bogdan IANC & Adrian-Marius IONESCU, 2021. "Do Central and Eastern Countries benefit from ECB’s unconventional monetary policies?," LEO Working Papers / DR LEO 2898, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  44. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
  45. Chen, Yong & Liu, Dingming & Zhuang, Ziguan, 2023. "The spillover effects of China's monetary policy shock: Evidence from B&R countries," Emerging Markets Review, Elsevier, vol. 55(C).
  46. Martin Feldkircher & Helene Schuberth, 2023. "Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 859-893, August.
  47. Gregor Bäurle & Matthias Gubler & Diego R. Känzig, 2021. "International Inflation Spillovers: The Role of Different Shocks," International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 191-230, March.
  48. Andrea Colabella, 2021. "Do ECB's Monetary Policies Benefit EMEs? A GVAR Analysis on the Global Financial and Sovereign Debt Crises and Postcrises Period," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 472-494, April.
  49. Goczek, Łukasz & Witkowski, Bartosz, 2023. "Spillover effects of the unconventional monetary policy of the European Central Bank," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 82-104.
  50. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
  51. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  52. Kaya Tokmakcioglu & Oguzhan Ozcelebi & Ali Sezin Ozdemir, 2019. "The role of asymmetry in the interplay between internal and external factors: Empirical evidence from the US, Brazil, Canada and Mexico," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(1), pages 55-75.
  53. Angelini Giovanni & Costantini Mauro & Easaw Joshy, 2024. "Estimating uncertainty spillover effects across euro area using a regime dependent VAR model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(1), pages 39-59, February.
  54. Benecká, Soňa & Fadejeva, Ludmila & Feldkircher, Martin, 2020. "The impact of euro Area monetary policy on Central and Eastern Europe," Journal of Policy Modeling, Elsevier, vol. 42(6), pages 1310-1333.
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