ABSTRACT

This paper evaluates the macroeconomic effects of the European Central Bank's (ECB) Expanded asset purchase programme (APP) on Latvia and other euro area jurisdictions and investigates the cross-border transmission mechanism. To that end, we employ two different vector autoregressive (VAR) models, namely a bilateral structural VAR with block exogeneity (BSVAR-BE) and a multi-country mixed cross-section global VAR with stochastic volatility (MCS-BGVAR-SV). We find that the APP had a limited and weakly significant impact on Latvia's output while the effect on inflation has been robust due to depreciation of the euro. Regarding other jurisdictions, results suggest that the ECB's asset purchases had a larger impact on industrial production in the countries where it drove down long-term interest rates the most via portfolio rebalancing channel. Despite that, our evidence suggests that the APP was mainly transmitted to inflation via exchange rate depreciation rather than through aggregate demand-driven shifts in the Phillips curve.

摘要

本文评估了欧洲中央银行（ECB）扩大资产购买计划（APP）对拉脱维亚和其他欧元区辖区的宏观经济影响，并研究了跨境传导机制。为此，我们采用了两种不同的向量自回归（VAR）模型，即具有块外生性的双边结构性VAR（BSVAR-BE）和具有随机波动性的多国混合截面全局VAR（MCS-BGVAR-SV）。我们发现，APP对拉脱维亚的产出影响有限且微弱，而由于欧元贬值，对通货膨胀的影响却很强劲。关于其他司法管辖区，结果表明欧洲央行 通过资产组合再平衡渠道最大程度地降低了长期利率，在这些国家购买资产对工业生产的影响更大。尽管如此，我们的证据表明，APP主要是通过汇率贬值而不是通过总需求驱动的菲利普斯曲线转移而传导至通货膨胀。