Rompolis, Leonidas S., (2017), “The effectiveness of unconventional monetary policy on risk aversion and uncertainty. For an optimal use of economic policy framework -priority to financial union“, Bank of Greece, Working Paper 231, June
This paper examines the impact of unconventional monetary policy of ECB measured by its balance sheet expansion on euro area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet shock decreases both risk aversion and uncertainty at least in the medium-run. A negative shock on policy rates has also a negative impact on risk aversion and uncertainty. These results are generally robust to different specifications of the VAR model, estimation procedures and identification schemes. Conversely, periods of high uncertainty are followed by a looser conventional monetary policy. The effect of uncertainty on ECB’s total assets and of risk aversion on conventional or unconventional monetary policy is not always statistically significant.
- Papaspyrou, Theodoros, S., (2017), «A new approach to governance and integration in EMU for an optimal use of economic policy framework – priority to financial union», Bank of Greece Working Paper 229, June
- Gambetti, Luca, Musso, Alberto, (2017), «The macroeconomic impact of the ECB’s expanded asset purchase programme (APP)», ECB Working Paper Series No 2075, June