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The Spillover Effects of European Central Bank Non-Standard Monetary Policy on Non-Euro Economies

Kane, Michael (2018) The Spillover Effects of European Central Bank Non-Standard Monetary Policy on Non-Euro Economies. Masters thesis, Dublin, National College of Ireland.

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Abstract

This paper is the first to comprehensively assess the impact of the European Central Bank’s non-standard monetary policy, in the form of the asset purchase programme (APP) utilising statistical analysis in the form of linear regression, coefficient and correlation models. The overall impacts across the research period are estimated through the results of this analysis and also identify through which channels the spillovers occurred. The results suggest that spillover effects from the European Central Bank asset purchase programme resulted in a decrease in the yields of both Swedish and Danish 10 year-government bonds. Furthermore, it also suggests that the spillover effects occurred on the exchange rates. The results also suggest that spillovers occurred through the asset price channel and through the foreign exchange channel. Unexpectedly the results also infer that no significant spillovers occur through the trade channel, which is not in line with the conclusions of other related literature.

Item Type: Thesis (Masters)
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > Financial Services
H Social Sciences > HG Finance > International Finance. International Monetary System
Divisions: School of Business > Master of Science in Finance
Depositing User: CAOIMHE NI MHAICIN
Date Deposited: 30 Oct 2018 13:07
Last Modified: 30 Oct 2018 13:07
URI: http://trap.ncirl.ie/id/eprint/3356

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