Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/241263 
Year of Publication: 
2021
Citation: 
[Journal:] International Finance [ISSN:] 1468-2362 [Volume:] 24 [Issue:] 2 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2021 [Pages:] 236-256
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
We distinguish the announcement effects of conventional and unconventional monetary policy measures on macroeconomic variables using a high-frequency data set that measures the impact of the European Central Bank's monetary policy decisions. For the period 2002 to 2019, we show that conventional and unconventional monetary policy measures differ considerably in their impact on inflation. While conventional measures show the expected response, that is, an interest rate cut increases inflation, unconventional measures appear to generally have no significant influence. However, this does not hold for quantitative easing, which is found to have a similar influence on inflation as the conventional interest rate changes.
Subjects: 
European central bank
high‐frequency data
information shock
unconventional monetary policy
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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