Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/144822
Authors: 
Hachula, Michael
Piffer, Michele
Rieth, Malte
Year of Publication: 
2016
Series/Report no.: 
DIW Discussion Papers 1596
Abstract: 
We study the macroeconomic effects of unconventional monetary policy in the euro area using structural vector autoregressions, identified with an external instrument. The instrument is the common unexpected variation in euro area sovereign spreads 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 also find, however, that the shocks lead to a rise in primary public expenditures, a divergence of consumer prices within the union, and a widening of internal trade balances.
Subjects: 
central banks
structural VAR with external instruments
fiscal policy
monetary union
JEL: 
E52
E58
E63
Document Type: 
Working Paper

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