Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154302
Authors: 
Falagiarda, Matteo
McQuade, Peter
Tirpák, Marcel
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper 1869
Abstract: 
Using event-study techniques we investigate the presence and the magnitude of spillovers from the ECB’s non-standard monetary policies on financial assets in selected non-euro area EU countries from Central and Eastern Europe (the Czech Republic, Hungary, Poland and Romania). Generally, we find strong evidence of spillover effects from the ECB’s announcements on bond yields. We also find that the SMP announcements resulted in significant spillovers, while those from the OMT and the PSPP announcements were rather limited. Turning to the transmission channels, we argue that spillovers from the SMP announcements went through the portfolio rebalancing and the signalling channels. The transmission of the OMT operated via the confidence channel and for the PSPP we find evidence that both the confidence and the signalling channels were at play.
Subjects: 
Central and Eastern Europe
ECB
event-study
monetary policy spillovers
JEL: 
C32
E52
E58
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-1682-0
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.