SVAR description of ECB monetary policy effects via banking sector in individual EA countries: case of Slovenia

摘要

This paper constructs structural vector autoregression (SVAR) model for individual EA member states that is able to capture effects of European Central Bank's (ECB) unconventional measures. We separately model innovation to ECB key interest rate representing standard interest rate policy as exogenous variable and effects of balance sheet policies through change in claims against domestic sector of individual central banks as endogenous variable. By incorporating banking sector, we specifically examine effects of monetary policy on credit provisioning in individual countries. This model is applied on Slovenian economy after the euro adoption in 2007. Our results suggest that while standard interest rate policy has an effect on long-term interest rates for government bonds and interest rates on loans to households, the balance sheet policy brings about an additional impulse affecting bank interest rates but fails to affect bank spreads, government bonds or directly the credit provisioning.