As a consequence of asset purchases by the European Central Bank (ECB), longer-term yields in the euro area decline, and spreads between euro area long-term yields narrow. To assess spillovers of these recent financial developments, we use a Bayesian variant of the global vector autoregressive (BGVAR) model with stochastic volatility and propose a novel mixture of zero impact and sign restrictions that we impose on the cross-section of the data. Both shocks generate positive and significant spillovers to industrial production in Central, Eastern and Southeastern Europe (CESEE) and other non-euro area EU member states. These effects are transmitted via the financial channel (mainly through interest rates and equity prices) and outweigh costs of appreciation pressure on local currencies vis-á-vis the euro (trade channel). While these results represent general trends, we also find evidence for both cross-country heterogeneity of effects within the euro area and region-specific spillovers thereof.udud
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机译:由于欧洲央行(ECB)进行资产购买,欧元区的长期收益率下降,欧元区的长期收益率之间的利差收窄。为了评估这些近期金融发展的溢出效应,我们使用了具有随机波动性的全局矢量自回归(BGVAR)模型的贝叶斯变体,并提出了一种将零影响和符号限制的新型混合方法强加于数据的横截面。两种冲击都对中欧,东欧和东南欧(CESEE)以及其他非欧元区欧盟成员国的工业生产产生了积极而重大的溢出效应。这些影响是通过金融渠道(主要通过利率和股票价格)传递的,并且超过了本币相对于欧元(贸易渠道)的升值压力。尽管这些结果代表了总体趋势,但我们还发现了欧元区范围内的跨国异质性及其特定区域溢出效应的证据。 ud ud
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