论文标题
关于欧洲中央银行在不确定性下的常规和非常规政策的有效性
On the effectiveness of the European Central Bank's conventional and unconventional policies under uncertainty
论文作者
论文摘要
在本文中，我们调查了欧洲中央银行（ECB）在不确定性水平的条件下采取常规和非常规货币政策措施的有效性。为了获得中央银行政策的外在变化，我们依靠欧元区（EA）在政策公告日期的金融市场数据中的高频惊喜。我们将冲击的动态影响对短期政策利率，远期指导和量化的宽松量以及基于调查的预期衡量标准以及基于调查的衡量标准的短期政策利率，远期指导和定量宽松。为此，我们提出了一个贝叶斯平滑转变矢量自动降低（ST-VAR）。我们的结果表明，当不确定性升高时，传输通道会受到损害。尽管在此期间，常规的货币政策在此期间的效率较低，有时甚至是远期指导，但在不确定的时期，定量宽松措施似乎相对效果较好。
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank policy, we rely on high-frequency surprises in financial market data for the euro area (EA) around policy announcement dates. We trace the dynamic effects of shocks to the short-term policy rate, forward guidance and quantitative easing on several key macroeconomic and financial quantities alongside survey-based measures of expectations. For this purpose, we propose a Bayesian smooth-transition vector autoregression (ST-VAR). Our results suggest that transmission channels are impaired when uncertainty is elevated. While conventional monetary policy is less effective during such periods, and sometimes also forward guidance, quantitative easing measures seem to work comparatively well in uncertain times.
