2017/05/01 by Martin Feldkircher, Feldkircher, Martin, Thomas Gruber +3
Economics, Econometrics and Finance · #Global Financial Crisis and Policies #Italy: Economic History and Contemporary Issues #Monetary Policy and Economic Impact
paper · pdf · doi:10.57938/b3fa9747-e621-4762-8429-592adb6d5ef9
openalex publication_date 2017/05/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29
As a consequence of asset purchases by the European Central Bank (ECB), longer-term yields in the euro area decline, and spreads between euro area long-term yields narrow. To assess spillovers of these recent financial developments, we use a Bayesian variant of the global vector autoregressive (BGVAR) model with stochastic volatility and propose a novel mixture of zero impact and sign restrictions that we impose on the cross-section of the data. Both shocks generate positive and significant spillovers to industrial production in Central, Eastern and Southeastern Europe (CESEE) and other non-euro area EU member states. These effects are transmitted via the financial channel (mainly through interest rates and equity prices) and outweigh costs of appreciation pressure on local currencies vis-á-vis the euro (trade channel). While these results represent general trends, we also find evidence for both cross-country heterogeneity of effects within the euro area and region-specific spillovers thereof.