This work estimates the effects of the ECB's monetary policies on a number of economies outside the euro area. A Global Vectorial AutoRegressive (GVAR) estimation technique is used, along with a novel database, including 31 advanced and emerging economies. As a proxy for the ECB's monetary policy stance, the Wu and Xia's (2016) shadow rate is employed, which makes a non-linear approximation of interest rate term structure.
Estimates find that an easing of the ECB's monetary policy brings about a permanent increase of GDP in all the economies under scrutiny, although at a different extent according to countries' characteristics. Short-term interest rates also fall, but their response is less marked than that of GDP and more limited, spatially and over time.
