论不确定性下欧洲央行常规与非常规政策的有效性
On the effectiveness of the European Central Bank's conventional and unconventional policies under uncertainty
摘要：
在本文中，我们研究了欧洲中央银行（ECB）的常规和非常规货币政策措施的有效性条件下的普遍水平的不确定性。为了获得央行政策的外生变化，我们依赖于欧元区（EA）金融市场数据在政策宣布日期前后的高频意外。我们追踪了短期政策利率、前瞻性指引和量化宽松对几个关键宏观经济和金融量的冲击的动态影响，以及基于调查的预期指标。为此，我们提出了贝叶斯平滑转换向量自回归（ST-VAR）。我们的研究结果表明，传输通道受损时，不确定性升高。虽然传统的货币政策在这种时期效果较差，有时也有前瞻性指导，但量化宽松措施在不确定时期似乎效果相对较好。
英文摘要：
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.
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