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Autor
Kiss Gabor David (University of Szeged, Hungary), Mészáros Mercédesz (University of Szeged, Hungary)
Tytuł
Gravity Among Central Bank Balance Sheets: Monetary Policy Spill-Over on FX Volatility
Źródło
Econometric Research in Finance, 2020, vol. 5, nr 1, s. 33-57, tab., wykr., bibliogr. 56 poz.
Słowa kluczowe
Banki centralne, Polityka pieniężna, Kryzys subprime, Stopa procentowa
Central banks, Monetary policy, Subprime crisis, Interest rate
Uwagi
JEL classification: E52, E58, E43, C33
summ.
Abstrakt
Following the subprime crisis, most of the European central banks implemented several unconventional monetary instruments. As a result of the late quantitative easing, there was a shift from stimulating lending to the immediate stimulation of the securities market in the monetary policy of the European Central Bank (ECB) and of the smaller central banks, too. These securities purchase programs, first and second-market transactions, and asset purchases have led to an increase in the stock of securities held by the central banks, whose spill-over effects have not been fully explored yet. The aim of our research is to identify the spill-over effects of the central banks' unconventional instruments and quantitative easing on currency volatility while considering the relative size of the issuing central bank and the situation of small open economies. By running an adapted version of gravity models, we analyzed a sample of six European central banks and the ECB. Based on our results, the high volatility levels of European currencies around the eurozone have come from their relative smallness and unconventional monetary policy, and considerations about safe havens have a reducing power on FX volatility.(original abstract)
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ISSN
2451-1935
2451-2370
Język
eng
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