This paper presents an integrated overview of the empirical literature on the impact of all forms of unconventional monetary policy on macroeconomic variables and on markets.,This survey covers the findings concerning portfolio rebalancing, signaling, liquidity, bank lending and confidence channels.,The positive effect of QE announcements on stock and bond prices seems to be unified across studies. A contagion effect from US QE to other emerging markets is identified, while currency devaluation is present in most cases for the country that its central bank adopted such policies. Moreover, impacts of non-conventional practices on GDP, inflation and unemployment are examined. The studies presenting weak instead of strong positive effects on inflation are more, and these studies, also, present weak positive effects on GDP growth.,Based on the large body of research on non-conventional action taking, this is the first survey including effects of each country that adopted quantitative easing (QE) measures and that provides results from every methodology employed in order to estimate unconventional practices' impacts.

A survey of empirical findings on unconventional central bank policies

We investigate the possible existence of asymmetries among Euro Area countriesi?½ reactions to the European Central Bank monetary policy. Our analysis is based on a Structural Dynamic Factor model estimated on a large panel of Euro Area quarterly variables. Although the introduction of the euro has changed the monetary transmission mechanism in the individual countries towards a more homogeneous response, we nevertheless find that differences remain between Northern and Southern Europe in terms of prices and unemployment. These results are the consequence of country specific structures, not of European Central Bank policies.

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy

The Effectiveness of Quantitative Easing: Evidence from Japan

This paper is motivated by the recent discussion on the need of market supervisors, regulators, and policy makers, to take into account the behavioral elements of market participant attitudes and psychological and cognitive biases when taking policy decisions. We contribute to the discussion by studying, for the first time, the relationship between conventional and unconventional central bank monetary policy and herd behavior in equity markets, and argue that the transmission channel, through which monetary policy may affect herd behavior, is economic expectations and investor sentiment. We combine a range of research methodologies to measure monetary policy, herd behavior, and their possible relation, and our results indicate that conventional and unconventional Fed monetary policy explains a significant percentage of US equity market herd behavior variance, while ECB monetary policy explains a lower percentage of Eurozone herding variance. Impulse Response Functions indicate that Fed's conventional expansionary policy and non-standard policy reduces the levels of herding in the US equity market, while conventional ECB expansionary policy induces higher levels of herding in Spain and Italy. We also detect spill-over effects from Fed monetary policy to EU market herd behavior.

/pdf/monetary-policy-and-herd-behavior-international-evidence-ovvo5sv678.pdf

Monetary policy and herd behavior: international evidence

Analyzing the factors influencing the demand and supply of solar modules in Japan – Does financing matter

This study documents empirically that contractionary US monetary policy may generate short-term expansionary spillover effects. In individual Euro Area (EA) member countries, economic activity increases, mainly via the trade channel. Also, domestic credit and stock markets expand, highlighting the importance of the financial channel. However, the international repercussions are transitory and distributed unevenly within the EA. The effect diminishes as EA interest rates increase with a few quarters delay. While the effects are heterogenous and rather large before 1999, responses become more homogeneous and smaller in size after the implementation of the euro. Still, country-specific asymmetries remain.

/pdf/us-monetary-policy-and-the-euro-area-4mqi9g66vw.pdf

US monetary policy and the euro area

The international transmission channels of US supply and demand shocks: Evidence from a non-stationary dynamic factor model for the G7 countries

A time-varying parameters Bayesian structural vector autoregression (TVP-BVAR) model with stochastic volatility is employed to characterize the monetary policy stance of the Bank of Canada (BoC) in terms of an interest rate rule linking the policy rate to the output gap, inflation and the exchange rate. Using quarterly bilateral Canadian–US data, we find such an interest rate rule to have little explanatory power for the early part of our sample starting in the mid-1980s, but to become more suitable to explain interest rate dynamics from the mid-1990s onwards. Whereas the exchange rate turns out to be the major determinant of the policy rate in the 1980s, its importance declines throughout the 1990s and 2000s, although it continues to be influential even towards the end of the sample period ending in 2015Q2. We also find interest rate shocks to have become more effective in influencing the macroeconomy over time, indicating that the BoC has continually gained monetary policy credibility. We associate this development with the BoC successively de-emphasizing the role of the exchange rate in informing interest rate decisions, thereby alleviating the potential monetary policy conflict between targeting the exchange rate and maintaining the price stability goal.

The role of the exchange rate in Canadian monetary policy: evidence from a TVP-BVAR model

This study investigates the international spillover effects of contractionary US monetary policy and its transmission channels on members of the euro area (EA) before and after the implementation of the euro. I find the multilateral spillover effects on individual EA economies' real activity and inflation to be asymmetric, i.e. the responses are mainly expansionary but not exclusively so. While the effects are diverse and rather large before 1999, responses become more homogeneous and smaller in size after the implementation of the euro. However, country-specific asymmetries remain. Trade and interest rates but also credit, stock and housing markets are identified as important transmission channels.

/pdf/us-monetary-policy-and-the-euro-area-36yf42t2gh.pdf

US Monetary Policy and the Euro Area

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Papers

US monetary policy and the euro area

The international transmission channels of US supply and demand shocks: Evidence from a non-stationary dynamic factor model for the G7 countries

The role of the exchange rate in Canadian monetary policy: evidence from a TVP-BVAR model

US Monetary Policy and the Euro Area

US Monetary Policy and the Euro Area