Abstract
We analyse the effect of the European Central Bank's (ECB) monetary shock spillover and its impact on the European Union's 9 countries outside the euro area (EA) between 2000 and 2020. We use the sign-restricted Bayesian VAR model and subsequent interpretation by plotting the impulse-response functions. Moreover, we investigate both conventional and unconventional monetary policies and its international transmission. The spillover of monetary policy is growing with the openness of economies and the ongoing deepening of integration. The output responds to the EA's monetary shock flexibly and persistently, but there is considerable heterogeneity across countries. We claim that it is essential for central banks outside the EA to monitor and incorporate the ECB's monetary policy spillover into decision-making processes. In particular, the international transmission of the unconventional monetary policy has a fundamental effect on the development of the price level, thus achieving price stability. In the case of implementing a counter-cyclical policy, it is also necessary to monitor conventional policy. However, there is no need to fight the spillover effect since there is no beggar-thy-neighbour problem, i.e., spillover effect works in the same direction in both domestic and foreign country.
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Corvinus University of Budapest
Department of Economics
Fővám tér 8 Budapest, H-1093, Hungary
E-mail: vanyai.judit@krtk.hu
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| 2021 | |
|---|---|
| Web of Science | |
| Total Cites WoS |
285 |
| Journal Impact Factor | 0,939 |
| Rank by Impact Factor | Economics 326/379 |
| Impact Factor without Journal Self Cites |
0,646 |
| 5 Year Impact Factor |
0,740 |
| Journal Citation Indicator | 0,34 |
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| Scimago | |
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15 |
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0,285 |
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| Scopus | |
| Scopus Cite Score |
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Economics and Econometrics 436/696 (Q3) |
| Scopus SNIP |
0,507 |
| 2020 | |
| Total Cites | 275 |
| WoS | |
| Journal Impact Factor |
0,875 |
| Rank by | Economics 325/377 (Q4) |
| Impact Factor | |
| Impact Factor | 0,534 |
| without | |
| Journal Self Cites | |
| 5 Year | 0,500 |
| Impact Factor | |
| Journal | 0,38 |
| Citation Indicator | |
| Rank by Journal | Economics 347/549 (Q3) |
| Citation Indicator | |
| Citable | 37 |
| Items | |
| Total | 37 |
| Articles | |
| Total | 0 |
| Reviews | |
| Scimago | 13 |
| H-index | |
| Scimago | 0,292 |
| Journal Rank | |
| Scimago | Economics and Econometrics Q3 |
| Quartile Score | |
| Scopus | 225/166=1,4 |
| Scite Score | |
| Scopus | Economics and Econometrics 392/661 (Q3) |
| Scite Score Rank | |
| Scopus | 0,668 |
| SNIP | |
| Days from | 289 |
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| 2019 | |
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| Total Cites WoS |
212 |
| Impact Factor | 0,914 |
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0,728 |
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0,650 |
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0,156 |
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45 |
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45 |
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0 |
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3,9 |
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9,5 |
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0,00015 |
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100,00 |
| Normalized Eigenfactor |
0,01891 |
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28,437 |
| Scimago H-index |
12 |
| Scimago Journal Rank |
0,439 |
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214/165=1,3 |
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Economics and Econometrics 355/637 (Q3) |
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