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2021, vol. 13, br. 2, str. 11-27
Procjena nekonvencionalnih mjera Evropske Centralne Banke - rekurzivni VAR pristup
"Ss. Cyril and Methodius" University, Faculty of Economics, Skopje, North Macedonia

e-adresapeovski@eccf.ukim.edu.mk, gockovg@eccf.ukim.edu.mk
Ključne reči: Nekonvencionalne monetarne mere; stabilnost cena; kamatne stope; rekurzivni VAR model
Sažetak
Pokazalo se da je korištenje nekonvencionalnih monetarnih mejra od velike važnosti za održavanje monetarne i ekonomske stabilnosti nakon Velike recesije. Međutim, cilj našeg istraživanja je da testiramo ovaj zaključak kroz uticaj kvantitativnog olakšavanja koje je sprovela Evropska Centralna Banka. Posmatrano kroz generisane šokove u bilansu Evrosistema kao našu glavnu promenljivu, testirali smo da li je kvantitativno olakšavanje ponovo uspostavilo ekonomski rast i povećalo nivo cijena, uglavnom preko smanjenja troškova pozajmljivanja za banke, pomažući tako u oporavku nakon krize. Da bismo dokazali svoje hipoteze, koristimo rekurzivni VAR model procenjen u nivoima koristeći podatke za period 2014M05-2018M12. Model uključuje promenljive kao što su industrijska proizvodnja i HICP u evrozoni i finansijske komponente kao što su EONIA-MRO raspon i CISS indeks. Rezultati pokazuju da proširenje konsolidovanog bilansa Evrosistema ima pozitivan i privremeni uticaj na industrijsku proizvodnju i HICP u Evrozoni, ali čini se da je reakcija prethodnih 2,24 puta vec'a. S druge strane, otkrivamo da kvantitativno olakšavanje ima očekivani negativni uticaj na širenje negativnog EONIA-MRO raspona. Dodatno, nismo mogli da potvrdimo teoretski očekivani prilagodljiv uticaj na pokazatelj finansijskog stresa.
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O članku

jezik rada: engleski
vrsta rada: neklasifikovan
DOI: 10.5937/bhekofor2102011P
objavljen u SCIndeksu: 12.05.2021.