Spillovers of ECB’s Unconventional Monetary Policies in Nordic Countries

In Chapter 1, under the supervision of Prof. Luca Riccetti, we have done a review of all quantitative easing announcements taken by ECB from 20008 to 2018 which includes public speech, conferences and press speech. Further, we have done a literature review on the empirical studies which use autoregressive conditional heteroskedastic models and event studies. The results of the event study show that the sign effect of the communications has a significant impact on long-term government bonds of Nordic countries. In Chapter 2, we have done a review of macroprudential policies applied in Nordic countries. Further, we have estimated the impact of unconventional monetary policies in a set of financial variables such as long- and medium-term government bonds, exchange rate, credit default swaps and corporate bond indices. The results indicate a heterogeneity among countries however, the financial connection of the region with the EU is high no matter the proximity. In Chapter 3, with my supervisor Prof. Luca Riccetti we have estimated the impact of non-standard measures in equity markets. The findings show that using an Exponential Generalized Autoregressive Conditional Heteroskedastic model, the findings confirm the impact of monetary policy surprises in Nordic stock returns. Second, the results indicate that a positive monetary surprise is associated with a decrease of the yields in the distressed countries and a decrease of the domestic government bond yield, increase the stock market prices.