Assessing Potential Spillovers from ECB Monetary Policy Measures in the Non-Euro Area Countries

Assessing potential spillovers from monetary policy measures implemented by the European Central Bank has become an important concern in a globalized world. The interest in studying the impact of monetary policies adopted by the ECB on the non-Euro area countries has grown over time, and this crisis caused by the COVID-19 pandemic is a suitable moment to continue the analysis of other authors. The research focuses on the four CEE countries that are European Union members, but not EMU participants - Czech Republic, Hungary, Poland and Romania. The paper sheds light on the impact of the monetary policy implemented by the ECB on the emerging economies from the non-Euro area. The empirical analysis has been carried out on monthly data between 2010 and 2021. The econometric model includes five endogenous variables such as industrial production, inflation rate, real effective exchange rate, unemployment rate and 3-month interest rate, and three exogenous variables including 3-month EURIBOR rate, total assets of the European Central Bank and VSTOXX index. The paper applies a Bayesian VAR model to estimate the spillover effects from the ECB’s monetary policy and to demonstrate the efficiency of the contractionary monetary policy implemented by the national central banks in each country, using a consistent set of endogenous and exogenous variables. To confirm the obtained results in the estimation of the impact of the monetary policy adopted by each national central bank, a Panel VAR model was estimated. Extant results showed that the responses to an exogenous shock from the monetary policy adopted by the ECB are weak and statistically insignificant. This outcome led the analysis to a further estimation of the impact of the monetary policy implemented by the national central banks from each country, in order to make a comparison between the monetary policy of the Eurozone and the monetary policy adopted by the four emerging countries.