L'impatto delle politiche monetarie non convenzionali della BCE sul mercato azionario e l'incertezza

This paper analyses the effects of ECB’s unconventional monetary policies on the euro area equity market uncertainty by estimating a Bayesian VAR model with monthly data covering the last ten years, where the ECB's unconventional monetary policy stance is measured by its balance sheet expansion. The main purpose is to quantify the improvements led by the Asset Purchase Program via the portfolio rebalancing channel and the channel of trust. In a context of low yields, via the portfolio rebalancing channel investors have incentives to shift their investments towards assets with higher expected returns. In addition, a significant expansion of the size and composition of the Eurosystem's balance sheet contributes to increase public confidence, stimulating consumption and investment. The results suggest that an expansionary balance sheet shock increases in the medium run price indexes. It finds that effects on financial variables tends to be short-lived, while the effects on macroeconomic variables tend to be more persistent in the long run. Overall, the analysis confirms the effectiveness of the non-conventional policy tools at zero lower bound in easing financial and macroeconomic conditions.