Grant detail

Effects of Unconventional Monetary Policies on Real Economy (1311420-GAUK)

Principal investigator: MSc. Shahriyar Aliyev
Collaborators: Ilgar Ismayilov M.A.
prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.
Description: The general scope of this three year project is to analyze the real economy effects of the Unconventional Monetary Policies (UMPs), with the main focus on European Central Bank (ECB) policies. As a first step, we decided to investigate the effectiveness of ECB's monetary policy on broad and sectoral commodity prices. In order to compare the effects of conventional to unconventional monetary policy interventions, we separately looked to the conventional policy interventions period from 2001:01 to 2008:07, and for UMP period covering 2009:04 - 2019:08. For the empirical assessment, we employ the Structural Vector Autoregressive (SVAR) model, following the previous works studying the effects of monetary policies.
Our study will be the first in analyzing and comparing the effects of ECB's UMP interventions on commodity prices to the conventional ones. For the first time, the sectoral commodity price responses will be analyzed for the ECB monetary policy effects. The research may entail useful policy recommendations for the determination and formulation of ECB's monetary policy with respect to its regional (EU) and spillover price effects. Moreover, by employing other macroeconomic variables we expect to see the effects of euro exchange rates, consumer prices and domestic production on both, broad and group commodity price indices, which is also a novel outcome of empirical study.
Participation:
Work in grant:
Web link:
Finance: GAUK 1311420, submitted 08.11.2019
End date: 2022
Publications:
Conferences:

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Deloitte

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CRIF
McKinsey
Patria Finance