Abstract The transmission mechanism has been dominated by direct monetary measures since the crisis of 2008. While the indirect impacts of the unconventional monetary instruments have not been fully explored yet. Monetary policy and funding conditions determine pricing sentiments for bond, stock and currency markets, represented by the volatilities of their main indicators: stock market indices, exchange rates, and yield premia. Our theoretical model takes spillover effects into account when it determines the variables which are responsible for volatility: the activities of international financial institutions (like the ESM or the IMF) are represented by dummy variables, while the limited autonomy in the shadow of the ECB is captured through gravity-like approaches. Six EU member states outside the Eurozone and Switzerland were analysed between 2007 and 2019 with random effect panel regression models to identify the differences in the impact of spillover effects on capital market volatilities. The results obtained are considered to be useful in mapping the potential effects of continuing monetary easing in the near future.

中文翻译：

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欧元区阴影下非常规货币政策对资本市场的溢出效应：非欧元区国家的样本

摘要自2008年危机以来，传导机制一直以直接货币措施为主。然而，尚未充分探讨非常规货币工具的间接影响。货币政策和融资条件决定着债券，股票和货币市场的定价情绪，这些情绪由其主要指标的波动性来表示：股票市场指数，汇率和收益率溢价。我们的理论模型在确定导致波动性的变量时会考虑溢出效应：国际金融机构（例如ESM或IMF）的活动由虚拟变量表示，而在ECB阴影下的有限自治则是通过类似重力的方法捕获。在2007年至2019年之间，使用随机效应面板回归模型对欧元区和瑞士以外的六个欧盟成员国进行了分析，以确定溢出效应对资本市场波动性的影响差异。人们认为，所获得的结果可用于绘制近期内持续货币宽松政策的潜在影响。