El efecto regional de la política monetaria. El caso de la política monetaria del Banco Central Europeo

Abstract

The territorial impact of monetary policy on economic activity has been confirmed by numerous empirical studies since the 1970s. However, recent evidence has failed to be translated into a set of results that provide a comprehensive picture of the extent to which territorial differences impact the effects of monetary policy and the factors which give rise to such heterogeneity. This is due to the existence of a wide range of estimates which result from the analysis of very diverse geographical, temporal and economic contexts, in addition to the use of a wide variety of methodological dimensions whose impact on results is not evident. In its first part, this doctoral thesis looks at the studies belonging to the branch of literature that examines the territorial effects of monetary policy on economic activity. The objective is therefore to structure the available empirical evidence in order to determine the current state of the art by means of a threefold perspective which: (1) explores the different methodological dimensions employed by these studies while pinpointing, as far as possible, their impact on the results obtained; (2) determines how conclusive the available empirical evidence for the monetary unions studied actually is, and (3) structures the existing evidence in relation to the factors that affect the territorial effects of monetary policy. The second part of this doctoral thesis focuses on conducting an empirical analysis of the impact of European Central Bank (ECB) monetary policy on the economic activity of eurozone countries. Through this analysis, monetary spatiality is studied in three different periods: (1) conventional monetary policy; (2) transitory unconventional monetary policy applied during the economic crisis, and (3) quantitative easing monetary policy in the post-crisis era. To this aim, autoregressive vector, cluster analysis, and analysis of variance techniques are used. By combining these three methods it is possible: (1) to examine the degree of heterogeneity in the economic effects of the ECB's monetary policy across the countries that make up the eurozone; (2) analyse and quantify the similarities and divergences between such impacts and, accordingly, identify the existence of blocks of countries, and (3) identify which factors shape the blocks identified. From the results found in the literature analysis, the conclusion is that monetary policy has a differentiated territorial impact. This conclusion is found to hold irrespective of the methodological features implemented and of the type of monetary union analysed. However, several methodological features have been found to generate inconclusive or biased evidence regarding the territorial patterns obtained. A series of elements giving rise to this territorial heterogeneity in the effects of monetary policy are also identified, although it should be pointed out that this issue is yet to be comprehensively addressed in the literature. For its part, the empirical analysis confirms the existence of heterogeneity in the effects that the ECB's monetary policy exerts on the economies of the countries that make up the eurozone. It also identifies a segmentation of countries depending on the magnitude of these effects. The configuration of this segmentation and the economic policy implications derived from it vary according to the period and type of monetary policy analysed. Thus, two clusters are identified in terms of production in the period of conventional monetary policy. Although production reacts in the expected direction in both blocks, the cluster comprising Spain, Luxembourg, Greece, and Finland exhibits a hyper-reactive pattern, which seems to be driven by the structural singularities of each of these countries. With regard to the period of transitory unconventional monetary policy, three clusters are identified in terms of production. Despite this, the monetary policy implemented does succeed in reactivating economic activity only for the block composed of Germany, Austria, Belgium, France, and Finland. The configuration of the clusters in this period seems to be driven by the level of stress in the sovereign debt markets and the strength of the banking system. Finally, in the period of quantitative easing, territorial differences in terms of production are diluted. Thereby, all the countries analysed are included in the same block, with the exception of Ireland. The conclusion is therefore that monetary clusters can either operate in favour of monetary policy, as is the case in the period of conventional monetary policy, prove to be scarcely relevant, as in the period of quantitative easing, or reflect priority problems.