UNCONVENTIONAL MONETARY POLICY, FISCAL SIDE EFFECTS, AND EURO AREA (IM)BALANCES

• 成果类型: Article
• 署名作者: Hachula, Michael; Piffer, Michele; Rieth, Malte
• 署名单位: Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; University of London; Queen Mary University London
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvy052
• 发表日期: 2020
• 页码: 202-231
• 关键词: interest-rates; transmission; surprises; channels; IMPACT

摘要

We study the macroeconomic effects of unconventional monetary policy in the euro area using structural vector autoregressions, identified with external instruments. The instruments are based on the common unexpected variation in euro area sovereign yields for different maturities on policy announcement days. We first show that expansionary monetary surprises are effective at lowering public and private interest rates and increasing economic activity, consumer prices, and inflation expectations. We then document that the shocks lead to a rise in primary public expenditures and a widening of internal trade balances.