Working Paper: The ECB's unconventional monetary policy and the role of exchange rate regimes in cross-country spillovers

Working Paper – October 2017 – No. 119

Authors Spange, Morten; Jensen, Jakob Roager; Mikkelsen, Jakob Guldbæk
Subject Monetary policy; Foreign-exchange policy; Fixed-exchange-rate policy; ECB; The ECB's monetary-policy strategy; Yield Spreads; Rates and foreign-exchange
Type Working paper
Year 2017
Published 2 October 2017
We study the impact of the ECB's large scale asset purchase programme on selected euro area and neighbouring countries with a particular focus on the role of the exchange rate regime. The effects of the programme are assessed by conducting an event study as well as by estimating a structural VAR model using a shadow short rate as a measure of the monetary policy stance. We find that the programme has contributed to reducing longer-term bond yields in the euro area as well as in neighbouring countries.