Proceedings of the Research Technologies of Pandemic Coronavirus Impact (RTCOV 2020)

Systemic Stress in the EU under the COVID-19 Pandemic: the Impact of ECB Monetary Policy Decisions

Authors
O.R. Mukhametov
Corresponding Author
O.R. Mukhametov
Available Online 6 November 2020.
DOI
https://doi.org/10.2991/assehr.k.201105.070How to use a DOI?
Keywords
systemic stress, yield curve, ECB, quantitative easing, panel vector autoregression
Abstract
After the announcement of the COVID-19 pandemic the volatility in financial markets has increased significantly, which has caused the intensification of the systemic financial stress in the EU countries. European central bank (ECB) has taken several measures, including expanding asset purchase programs to mitigate the negative effects of the coronavirus crisis. The significant increase in asset purchases has stabilized financial markets, which returned to pre-crisis levels after a surge in volatility. This paper examines the impact of ECB extended quantitative easing on indicator of systemic financial stress in EU countries. The paper presents a panel vector autoregression (PVAR), which includes the indicator of systemic stress and the change in the balance sheet of the Eurosystem as the endogenous variables. The analysis has demonstrated that changes in the volume of asset purchases did not have a statistically significant effect on the indicator of systemic stress. However, these results can inevitably be considered only as preliminary, since a more detailed study requires a longer and more structured time series.
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Volume Title
Proceedings of the Research Technologies of Pandemic Coronavirus Impact (RTCOV 2020)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
6 November 2020
ISBN
978-94-6239-268-7
ISSN
2352-5398
DOI
https://doi.org/10.2991/assehr.k.201105.070How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - O.R. Mukhametov
PY  - 2020
DA  - 2020/11/06
TI  - Systemic Stress in the EU under the COVID-19 Pandemic: the Impact of ECB Monetary Policy Decisions
BT  - Proceedings of the Research Technologies of Pandemic Coronavirus Impact (RTCOV 2020)
PB  - Atlantis Press
SP  - 388
EP  - 396
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.201105.070
DO  - https://doi.org/10.2991/assehr.k.201105.070
ID  - Mukhametov2020
ER  -