欧洲央行非常规货币政策对欧元区系统性风险的影响

IF 0.7 Q3 ECONOMICS
E. P. Dzhagityan, O. Mukhametov
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引用次数: 0

摘要

在现代经济学文献中,央行非常规货币政策框架下的系统性风险迄今为止很少受到关注。基于欧洲央行(ECB)非常规货币政策的证据,我们通过区分实体化系统性风险(金融压力)及其潜在水平(危机期间银行体系的预期资本短缺)之间的系统性风险,为这一研究领域做出了贡献。此外,本文还评估了扩张性和收缩性非常规货币政策的不对称效应。实证分析涵盖2009年至2022年期间,并采用对模型参数具有零约束和符号约束的结构向量自回归。我们发现,在采取扩张性非常规货币政策后,实体化系统性风险下降,而在欧洲央行采取紧缩措施后,实体化系统性风险上升。潜在的系统性风险表现出强烈的反弹,它们在扩张性冲击后的增加超过了模量收缩措施的减少。研究结果表明,为确保金融稳定,需要将长期刺激的非常规货币政策与紧缩措施结合起来。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The effect of the ECB’s unconventional monetary policy on systemic risks in the eurozone
Systemic risks in the framework of central banks’ unconventional monetary policy (UMP) have so far received little attention in the modern economic literature. Based on evidence from the UMP of the European Central Bank (ECB), we contribute to this research area by differentiating systemic risks between materialized systemic risks (financial stress) and their potential level (expected capital shortfall in the banking system during crises). Besides, our paper assesses the asymmetric effects of expansionary and contractionary UMP. The empirical analysis covers the period from 2009 to 2022 and applies structural vector autoregressions with zero and sign constraints on the model parameters. We have found that materialized systemic risks decline in response to expansionary UMP and increase after the ECB’s contractionary measures. Potential systemic risks demonstrate a backlash, and their increase after the expansionary shock outweighs the decrease in response to the contractionary measures in modulus. The research results show the need to combine a long-lasting stimulating UMP together with the tightening measures in ensuring financial stability.
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来源期刊
Voprosy Ekonomiki
Voprosy Ekonomiki ECONOMICS-
CiteScore
1.80
自引率
25.00%
发文量
86
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