Liquidity Effects of the Unconventional ECB's Monetary Policy

In this paper we examine the liquidity effects of the unconventional monetary policy of the ECB. We estimated cointegration vector to identify long-term causal effects of nonstandard measures of monetary policy on the long-term interest rates of sovereign bonds in the selected core euro-area member countries. The pass-through from the official open market operations to the long-term interest rates also depends on the risk premiums and economic activity expectations. Finally, we adopt the technique of error correction to understand the dynamics between the variables studied in the short and long term. The results are discussed in relation to the monetary policy efficiency at the zero lower bound.