Non-Linearities in International Spillovers of the ECB$^\prime$s Monetary Policy. The Case of Non-ERM II Countries and Anti-Fragmentation Policy
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866929414308102144 |
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| author | Holban, Iones Kelanemer |
| author_facet | Holban, Iones Kelanemer |
| contents | We investigate the presence of sign and size non-linearities in the impact of the European Central Bank$^\prime$s Anti-Fragmentation Policy on non-ERM II, EU countries. After identifying three orthogonal monetary policy shock using the method of Fanelli and Marsi [2022], we then select an optimal specification and estimate both linear and non linear impulse response functions using local projections (Dufour and Renault [1998], Goncalves et al. [2021]). The choice of non-linear transformations to separate sign and size effects is based on Caravello and Martinez-Bruera [Working Paper, 2024]. Lastly we compare the linear model to the non-linear ones using a battery of Wald tests and find significant evidence of sign non-linearities in the international spillovers of ECB policy. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2406_19938 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Non-Linearities in International Spillovers of the ECB$^\prime$s Monetary Policy. The Case of Non-ERM II Countries and Anti-Fragmentation Policy Holban, Iones Kelanemer General Economics Economics We investigate the presence of sign and size non-linearities in the impact of the European Central Bank$^\prime$s Anti-Fragmentation Policy on non-ERM II, EU countries. After identifying three orthogonal monetary policy shock using the method of Fanelli and Marsi [2022], we then select an optimal specification and estimate both linear and non linear impulse response functions using local projections (Dufour and Renault [1998], Goncalves et al. [2021]). The choice of non-linear transformations to separate sign and size effects is based on Caravello and Martinez-Bruera [Working Paper, 2024]. Lastly we compare the linear model to the non-linear ones using a battery of Wald tests and find significant evidence of sign non-linearities in the international spillovers of ECB policy. |
| title | Non-Linearities in International Spillovers of the ECB$^\prime$s Monetary Policy. The Case of Non-ERM II Countries and Anti-Fragmentation Policy |
| topic | General Economics Economics |
| url | https://arxiv.org/abs/2406.19938 |