ECB unconventional monetary policy and volatile bank flows: Spillover effects on emerging market economies

Salima Ouerk

International Economics, 2023, vol. 173, issue C, 175-211

Abstract: This paper analyses whether European Central Bank (ECB) unconventional monetary policy (UMP) shocks contribute to the emergence of the global financial cycle. Using large-scale global VAR models, I assessed the possible effects of ECB UMP on financial and macroeconomic conditions in emerging markets and documented the channels through which potential spillovers occur, focusing on cross-border banking flows. I found that ECB UMP influences decisions made in the euro area (EA) banking system, leading to an increase in banking outflows. In turn, the rise of inflows to emerging market economies (EMEs) results in a significant response by financial variables, proving that ECB UMP is a driver of the financial conditions in EMEs. While these results represent general trends, there is evidence of cross-regional heterogeneity.

Keywords: Unconventional monetary policy spillovers; Shadow short rate; International banking flows; Global financial cycle; Global VAR (search for similar items in EconPapers)
JEL-codes: C32 E E52 E58 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2110701722000968
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:inteco:v:173:y:2023:i:c:p:175-211

DOI: 10.1016/j.inteco.2022.11.008

Access Statistics for this article

International Economics is currently edited by Valerie Mignon and Marcelo Olarreaga

More articles in International Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().