Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries

We assess the effects of recent ECB’s unconventional monetary policy (UMP) measures by estimating a global VAR that exploits panel variation amongst all euro area economies and explicitly takes into account cross-country interdependencies. Most euro area members benefit from these measures but with substantial heterogeneity, whose extent has been evolving over time and peaked with the sovereign debt crisis. Cross-country spillovers account for a...