Acceso abierto

International Transmission of Conventional and Unconventional Monetary Policy and Financial Stress Shocks from the Euro Area to Russia


Cite

1. Adam, T., Benecká, S., & Matějů, J. (2018). Financial stress and its nonlinear impact on CEE exchange rates. Journal of Financial Stability, 36(C), 346–360.10.1016/j.jfs.2018.04.008 Search in Google Scholar

2. Aizenman, J., Binici, M., & Hutchinson, M. (2016). The transmission of Federal Reserve tapering news to emerging financial markets. International Journal of Central Banking, 12(2), 317–356. Search in Google Scholar

3. Berge, T., & Cao, G. (2014). Global effects of U.S: monetary policy: Is unconventional policy different? Economic Review, (QI), 5–31. Search in Google Scholar

4. Bluwstein, K., & Canova, F. (2016). Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures. International Journal of Central Banking, 12(3), 69–120. Search in Google Scholar

5. Boeckx, J., Dossche, M., & Peersman, G. (2017). Effectiveness and Transmission of the ECB´s Balance Sheet Policies. International Journal of Central Banking, 13(1), 297–333. Search in Google Scholar

6. Boermans, M., & Keshkov V. (2018). The impact of the ECB asset purchases on the European bond market structure: Granular evidence on ownership concentration, DeNetherlandscheBank Eurosysteem, DNB Working Paper No. 590/April 2018.10.2139/ssrn.3173561 Search in Google Scholar

7. Borzykh, O. (2016). Bank lending channel in Russia: A TVP-FAVAR approach. Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), 43, 96–117. Available (in English): https://cepr.org/sites/default/files/40006_BORZYKH%20-%20Bank%20Lending%20Channel%20in%20Russia.pdf. Search in Google Scholar

8. Bowman, D., Londono, J.M., & Sapriza, H. (2015). U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies. Journal of International Money and Finance, 55(C), 27–59.10.1016/j.jimonfin.2015.02.016 Search in Google Scholar

9. Central Bank of the Russian Federation. (2013). The history of the Bank of Russia´s exchange rate policy, In Market volatility and foreign exchange intervention in EMEs: what has changed? BIS Papers No. 73, Bank for International Settlements, 293–299. Basel: Bank for International Settlements. Search in Google Scholar

10. Central Bank of the Russian Federation. (2014). Monetary policy in Russia: Recent challenges and changes, In The transmission of unconventional monetary policy to the emerging markets, BIS Papers No. 78, Bank for International Settlements, 299–305. Basel: Bank for International Settlements. Search in Google Scholar

11. Central Bank of the Russian Federation. (2019). Monthly Average Actual Rates on Moscow banks’ credits (MIACR, MIACR-IG, MIACR-B). Retrieved from https://www.cbr.ru/eng/hd_base/mkr/mkr_monthes/. Search in Google Scholar

12. Chen, P., & Semler, W. (2018). Financial stress, regime switching and spillover effects: Evidence from a multi-regime global VAR model. Journal of Economic Dynamics & Control, 91(C), 318–348.10.1016/j.jedc.2018.03.001 Search in Google Scholar

13. Chen, Q., Filardo, A., He, D., & Zhu, F. (2016). Financial crisis, US unconventional monetary policy and international spillovers. Journal of International Money and Finance, 67(C), 62–81.10.1016/j.jimonfin.2015.06.011 Search in Google Scholar

14. Chen, Q., Lombardi, M., Ross, A., & Zhu, F. (2017). Global Impact of US and Euro Area Unconventional Monetary Policies: A Comparison, Bank for International Settlements – BIS, Working Papers No. 610. Search in Google Scholar

15. Chow, G., & Lin, A.L. (1971). Best linear unbiased distribution and extrapolation of economic time series by related series. Review of Economics and Statistics, 53(4), 372–375.10.2307/1928739 Search in Google Scholar

16. Christiano, L.J., Eichenbaum, M., & Evans, C.L. (1996). The effects of monetary policy shocks: Evidence from the flow of funds. Review of Economics and Statistics, 78(1), 16–34.10.2307/2109845 Search in Google Scholar

17. Christiano, L.J., Eichenbaum, M., & Evans, C.L. (1999). Monetary Policy Shocks: What Have We Learned and to What End? In Handbook of Macroeconomics. Vol. 1A, ed. J. B. Taylor & M. Woodford, 65–148. Amsterdam: Elsevier Science.10.1016/S1574-0048(99)01005-8 Search in Google Scholar

18. Cushman, D. O., & Zha, T. (1997). Identifying monetary policy in a small open economy under flexible exchange rates. Journal of Monetary Economics, 39(3), 433–448.10.1016/S0304-3932(97)00029-9 Search in Google Scholar

19. Dajcman, S., & Tica, J. (2017). The Broad Credit and Bank Capital Channels of Monetary Policy Transmission in the Core and Peripheral Euro Area. Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, 35(2), 249–275.10.18045/zbefri.2017.2.249 Search in Google Scholar

20. Dajčman, S., Kavkler A., Mikek P., & Romih, D. (2020). Transmission of financial stress shocks between the USA and the euro area during different business cycle phases. E+M: Ekonomie a Management, 23(4): 152–165.10.15240/tul/001/2020-4-010 Search in Google Scholar

21. Dovern J., & van Roye, B. (2014). International transmission and business-cycle effects of financial stress. Journal of Financial Stability, 13(C), 1–17.10.1016/j.jfs.2014.02.006 Search in Google Scholar

22. Eickmeier, S., & Ng, T. (2015). How Do US Credit Supply Shocks Propagate Internationally? A GVAR Approach. European Economic Review, 74(C), 128–145.10.1016/j.euroecorev.2014.11.011 Search in Google Scholar

23. European Central Bank – ECB. (2019a). Euro area (changing composition) - HICP - Overall index, Monthly Index, European Central Bank, Working day and seasonally adjusted. Retrieved from https://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=122.ICP.M.U2.Y.000000.3.INX&periodSortOrder=ASC. Search in Google Scholar

24. European Central Bank – ECB. (2019b). CISS: Composite Indicator of Systemic Stress. Retrieved from https://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=290.CISS.D.U2.Z0Z.4F.EC.SS_CI.IDX&start=&end=&submitOptions.x=0&submitOptions.y=0&trans=N&periodSortOrder=ASC. Search in Google Scholar

25. European Central Bank – ECB. (2019c). Total assets/liabilities - Eurosystem. Retrieved from https://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=123.ILM.W.U2.C.T000000.Z5.Z01&start=&end=&submitOptions.x=0&submitOptions.y=0&trans=MF&periodSortOrder=ASC. Search in Google Scholar

26. European Central Bank – ECB. (2019d). Russian ruble/Euro. Retrieved from https://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=120.EXR.M.RUB.EUR.SP00.A&periodSortOrder=ASC. Search in Google Scholar

27. European Central Bank – ECB (2019e). ECB reference exchange rate, US dollar/Euro, 2:15 pm (C.E.T.). Retrieved from https://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=120.EXR.D.USD.EUR.SP00.A&start=&end=&submitOptions.x=0&submitOptions.y=0&trans=MF&periodSortOrder=ASC. Search in Google Scholar

28. Eurostat. (2019a). Euro area 19 trade by SITC product group since 1999. Retrieved from https://appsso.eurostat.ec.europa.eu/nui/show.do?dataset=ext_st_ea19sitc&lang=en. Search in Google Scholar

29. Eurostat. (2019b). GDP and main components (output, expenditure and income) [namq_10_gdp]. Retrieved from https://appsso.eurostat.ec.europa.eu/nui/show.do?dataset=namq_10_gdp&lang=en. Search in Google Scholar

30. Evgenidis, A., Philippas, D., & Siriopoulos, C. (2019). Heterogenous effects in the international transmission of the US monetary policy: a factor-augmented VAR perspective. Empirical Economics, 56(5), 1549–1579.10.1007/s00181-018-1448-1 Search in Google Scholar

31. Evgenidis, A., & Tsagkanos, A. (2017). Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach. International Review of Financial Analysis, 51(C), 69–81.10.1016/j.irfa.2017.03.003 Search in Google Scholar

32. Falagiarda, M., McQuade, P., & Tirpák, M. (2015). Spillovers from the ECB´s monetary policies on non-euro area EU countries: evidence from an event study analysis, European Central Bank, Working Paper Series No. 1869. Search in Google Scholar

33. Fiedler, S., Jannsen, N., Wolters, M., Hanisch, I., & Hallett Hughes, A. (2016). Transmission channels of unconventional monetary policy in the euro area: where do we stand? Monetary Dialogue, November 2016. In-depth Analysis. Directorate General for Internal Policies, Policy Department A: Economic and Scientific Policy. Brussels: European Union. Available at: https://www.europarl.europa.eu/cmsdata/116964/COMPILATION_Nov%202016_TOPIC_3_FINAL_online.pdf. Search in Google Scholar

34. Gilchrist, S., & Zakrajsek, E. (2012). Credit spreads and business cycle fluctuations. The American Economic Review, 102(4), 1692–1720.10.1257/aer.102.4.1692 Search in Google Scholar

35. Grundowska, S. (2016). JDemetra+ Reference Manual Version 2.1. Warszawa: Narodowy Bank Polski, Department of Statistics. Available at https://ec.europa.eu/eurostat/cros/system/files/jdemetra_reference_manual_version_2.1_0.pdf. Search in Google Scholar

36. Gurvich, E., & Prilepskiy, I. (2015). The impact of financial sanctions on the Russian Economy. Russian Journal of Economics, 1(4): 359–385.10.1016/j.ruje.2016.02.002 Search in Google Scholar

37. Hakkio, C.S., & Keeton, W.R. (2009). Financial stress: what is it, how can it be measured, and why does it matter? Economic Policy, 94(2), 5–50. Search in Google Scholar

38. Hollo, D., Kremer, M., & Lo Duca, M. (2012). Ciss – A Composite Indicator of Systemic Stress in the Financial System, European Central Bank, Working Paper Series no. 1426.10.2139/ssrn.1611717 Search in Google Scholar

39. Hubrich, K., & Tetlow, R.J. (2015). Financial stress and economic dynamics: the transmission of crises. Journal of Monetary Economics, 70(C), 100–115.10.1016/j.jmoneco.2014.09.005 Search in Google Scholar

40. Ioannidis, C. & Kontonikas, A. (2008). The impact of monetary policy on stock prices. Journal of Policy Modeling, 30(1), 33–53.10.1016/j.jpolmod.2007.06.015 Search in Google Scholar

41. IMF – International Monetary Fund. (2014). 2014 Spillover Report. Washington: International Monetary Fund. Available: https://www.imf.org/en/Publications/Policy-Papers/Issues/2016/12/31/2014-Spillover-Report-PP4881.10.5089/9781498343206.007 Search in Google Scholar

42. IMF – International Monetary Fund. (2019). IMF primary commodity prices. Retrieved from https://www.imf.org/en/Research/commodity-prices. Search in Google Scholar

43. Inoue, A., & Rossi, B. (2018). The effects of conventional and unconventional monetary policy on exchange rates, Universtitat Pompeu Fabra Barcelona, Department of Economics, Economics Working Paper No. 1639.10.3386/w25021 Search in Google Scholar

44. Kim, S. (2001a). International transmission of U.S. monetary policy shocks: Evidence from VAR´s. Journal of Monetary Economics, 48(2), 339–372.10.1016/S0304-3932(01)00080-0 Search in Google Scholar

45. Kim, S. (2001b). Effects of monetary policy shocks on the trade balance in small open European countries. Economics Letters, 71(2), 197–203.10.1016/S0165-1765(01)00364-0 Search in Google Scholar

46. Koray F., & McMillin, W.D. (1999). Monetary shocks, the exchange rate, and the trade balance. Journal of International Money and Finance, 18(6), 925–940.10.1016/S0261-5606(99)00031-5 Search in Google Scholar

47. Kremer, M. (2016). Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area. International Economics and Economic Policy, 13(1), 105–138.10.1007/s10368-015-0325-z Search in Google Scholar

48. Kruglova A., Styrin, K., & Ushakova, Y. (2018). Transmission of foreign monetary shocks to a small open economy under structural instability: the case of Russia, Bank of Russia, Working Paper Series No. 38. Search in Google Scholar

49. Luetkepohl, H. (2011). Vector Autoregressive Models. EUI Working Papers ECO 2011/30 Department of Economics. Badia Fiesolana: European University Institute. Search in Google Scholar

50. MacDonald, M., & Popiel, K.M. (2017). Unconventional Monetary Policy in a Small Open Economy, International Monetary Fund – IMF, Working Paper WP/17/268.10.5089/9781484330944.001 Search in Google Scholar

51. Maćkowiak, B. (2007). External shocks, U.S. monetary policy and macroeconomic fluctuations in emerging markets. Journal of Monetary Economics, 54(8), 2512–2520.10.1016/j.jmoneco.2007.06.021 Search in Google Scholar

52. Mohanty, M. S. (2014). The transmission of unconventional monetary policy to the emerging markets – An overview, In The transmission of unconventional monetary policy to the emerging markets, BIS Papers No. 78, Bank for International Settlements, 1–24. Basel: Bank for International Settlements. Search in Google Scholar

53. Neri, S., & Siviero, S. (2019). The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks, Banca d´Italia, Questioni di Economia e Finanza, Occasional Papers No. 486).10.2139/ssrn.3432985 Search in Google Scholar

54. OECD. (2019a). Main Economic Indicators Publication. Retrieved from https://stats.oecd.org/Index.aspx?DataSetCode=MEI#. Search in Google Scholar

55. OECD. (2019b). Leading Indicators OECD: Reference Series: Gross Domestic Product: Original Series for the Russian Federation [LORSGPORRUQ661S]. Retrieved from FRED, Federal Reserve Bank of St. Louis https://fred.stlouisfed.org/series/LORSGPORRUQ661S. Search in Google Scholar

56. Ono, S. (2018). Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets. International Journal of Economics and Finance, 10(2), 14–19.10.5539/ijef.v10n2p14 Search in Google Scholar

57. Quilis, M.E. (2019). Temporal disaggregation. Matlab code. MATLAB Central File Exchange. Retrieved from https://www.mathworks.com/matlabcentral/fileexchange/69800-temporal-disaggregation. Search in Google Scholar

58. Pazardjiev, M.N., & Vasilev, A.Z. (2021). Specificities of the monetary transmission mechanism within the Bulgarian currency board framework: the first five years. Journal of Central Banking Theory and Practice, 10(2), 57–86.10.2478/jcbtp-2021-0014 Search in Google Scholar

59. Ranaldo, A., & Söderlind, P. (2010). Safe haven currencies. Review of Finance, 14(3), 385–407.10.1093/rof/rfq007 Search in Google Scholar

60. Reserve Bank of Australia. (2019). International Official Interest Rates – F13. Retrieved from https://www.rba.gov.au/statistics/tables/. Search in Google Scholar

61. Rey, H. (2016). International Channels of Transmission of Monetary Policy and the Mundellian Trilemma. IMF Economic Review, 64(1), 6–35.10.1057/imfer.2016.4 Search in Google Scholar

62. Shobande, O.A., & Shodipe O.T. (2021). Monetary Policy Interdependency in Fisher Effect: A Comparative Evidence. Journal of Central Banking Theory and Practice, 10(1), 203–226.10.2478/jcbtp-2021-0010 Search in Google Scholar

63. Takáts, E., & Vela A. (2014). International monetary policy transmission, In The transmission of unconventional monetary policy to the emerging markets, BIS Papers No. 78, Bank for International Settlements, 25–44. Basel: Bank for International Settlements. Search in Google Scholar

64. Tillmann, P. (2014). Unconventional monetary policy shocks and the response of emerging markets, Hong Kong Institute for Monetary Research, Working Paper No. 17/2014.10.2139/ssrn.2477246 Search in Google Scholar

65. Varghese, R., & Zhang, Y. S. (2018). A new wave of ECB´s unconventional monetary policies: Domestic impact and spillovers, International Monetary Fund – IMF, Working Paper WP/18/11.10.5089/9781484338544.001 Search in Google Scholar

66. Vespignani, J.L. (2015). International transmission of monetary shocks to the Euro area: Evidence from the U.S., Japan and China. Economic Modelling, 44(C), 131–141.10.1016/j.econmod.2014.10.005 Search in Google Scholar

67. Wu J.C., & Xia, F.D. (2016). Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound. Journal of Money, Credit, and Banking, 48(2–3), 253–291.10.1111/jmcb.12300 Search in Google Scholar

eISSN:
2336-9205
Idioma:
Inglés
Calendario de la edición:
3 veces al año
Temas de la revista:
Business and Economics, Business Management, other